Linear stochastic systems with constant coefficients. A statistical approach
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Publication:797554
zbMATH Open0544.93060MaRDI QIDQ797554FDOQ797554
Authors: N. E. Zubov 
Publication date: 1982
Published in: Lecture Notes in Control and Information Sciences (Search for Journal in Brave)
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Cited In (65)
- Implicit Linear Nonhomogeneous Difference Equation over ℤ with a Random Right-Hand Side
- Evaluation of expectation of a functionals depending on the solution of linear stochastic equations
- Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
- On parameter estimation of stochastic delay differential equations with guaranteed accuracy by noisy observations
- Structure of stationary finite observation records of discrete-time stochastic linear systems
- Title not available (Why is that?)
- On one approach to estimation of parameters of a two-dimensional process of linear diffusion in nonstationary case
- Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
- Le Cam-Stratonovich-Boole theory for Itô diffusions
- Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion
- Nearly unstable family of stochastic processes given by stochastic differential equations with time delay
- SDE-MATH: a software package for the implementation of strong high-order numerical methods for Ito SDEs with multidimensional non-commutative noise based on multiple Fourier-Legendre series
- Statistical inference for stochastic differential equations with small noises
- Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations
- Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions
- Maximum likelihood estimators of parameters of multidimensional stationary Gaussian AR processes
- The distribution of estimates of parameters of multidimensional stationary AR processes
- On the parameter estimation of diffusional type processes with constant coefficients (elementary Gaussian processes)
- Efficient pointwise estimation based on discrete data in ergodic nonparametric diffusions
- Estimation of the mean of stationary and nonstationary Ornstein-Uhlenbeck processes and sheets
- New statistical investigations of the Ornstein-Uhlenbeck process.
- D-optimal designs for complex Ornstein-Uhlenbeck processes
- On parameter estimation of the hidden Ornstein-Uhlenbeck process
- Parameter Estimation of Complex Fractional Ornstein-Uhlenbeck Processes with Fractional Noise
- Nearly unstable AR models with coefficient matrices in Jordan normal form
- On parameter estimation of the hidden Gaussian process in perturbed SDE
- Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable
- Exact distribution of estimators of parameters in Ornstein-Uhlenbeck processes
- On parameter estimation of hidden ergodic Ornstein-Uhlenbeck process
- On localization of source by hidden Gaussian processes with small noise
- Stationarity and second-order properties of a scalar-valued nonlinear time series with Gaussian residuals
- Linear Sobolev type equations with relatively \(p\)-sectorial operators in space of ``noises
- Moments of the Limiting Distribution for the Boundary Case in the First Order Autoregressive Process
- Probability bounds and asymptotic properties of error propagation
- Linear Sobolev type equations with relatively \(p\)-radial operators in space of ``noises
- On sequential estimation of parameters in semimartingale regression models with continuous time parameter.
- Asymptotic inference for semimartingale models with singular parameter points
- Recent results in the theory and applications of CARMA processes
- Some properties of the Hellinger transform and its application in classification problems
- On numerical modeling of the multidimensional dynamic systems under random perturbations with the 1.5 and 2.0 orders of strong convergence
- Hellinger transform of Gaussian autoregressive processes
- Numerical solutions of linear stochastic differential equations
- Drift parameter estimation for nonlinear stochastic differential equations driven by fractional Brownian motion
- A comparative analysis of efficiency of using the Legendre polynomials and trigonometric functions for the numerical solution of Ito stochastic differential equations
- On numerical modeling of the multidimentional dynamic systems under random perturbations with the 2.5 order of strong convergence
- Robust estimators and probability integral transformations
- Detection of gross errors by the Chauvenet test for observations connected in a homogeneous Markov chain
- Asymptotic properties of Bayes estimators for Gaussian Itô\,-\,processes with noisy observations
- Title not available (Why is that?)
- Hypothesis testing for nearly nonstationary AR(1) model with Gaussian autoregressive innovation
- Hypothesis testing for nearly nonstationary autoregressive models
- Necessary and sufficient conditions for existence of stationary and periodic solutions of a stochastic difference equation in Hilbert space
- A famous nonlinear stochastic equation (Lotka-Volterra model with diffusion)
- Multivariate CARMA processes
- The estimate of potential in stochastic Schrödinger's equation
- Prediction and filtration of a partially observed vector ARMA system of first order
- Second-order continuous-time non-stationary Gaussian autoregression
- The application of the separation principle for the linear continuous systems with coloured noise
- On the optimal designs for the prediction of complex Ornstein-Uhlenbeck processes
- Title not available (Why is that?)
- Convergence of random step lines to Ornstein-Uhlenbeck-type processes
- Spectral representation of multivariate regularly varying Lévy and CARMA processes
- Explicit one-step numerical method with the strong convergence order of 2.5 for Ito stochastic differential equations with a multi-dimensional nonadditive noise based on the Taylor-Stratonovich expansion
- A mathematical framework for new fault detection schemes in nonlinear stochastic continuous-time dynamical systems
- On maximum likelihood estimation of the drift matrix of a degenerated O-U process
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