Linear stochastic systems with constant coefficients. A statistical approach
Characteristic functions; other transforms (60E10) Stationary stochastic processes (60G10) Discrete-time Markov processes on general state spaces (60J05) Continuous-time Markov processes on discrete state spaces (60J27) Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to systems and control theory (93-01) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Model systems in control theory (93C99) Stochastic systems in control theory (general) (93E03) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)
This is a book for specialists in the field of analysis and modeling of time series. It is roughly divided into three parts. The first part (Chapter 1) presents a statistical investigation of several problems of various characters. The Brownian motion, torsion pendulum and electrical circuits, rotation of the earth, measurement of performance in computer systems, round-off errors in solutions of ordinary differential equations and sunspot activity are considered from a statistical standpoint. The problem of Kalman filtering is also treated in this part, and an explicit solution of it is given in the case of continuous-time processes described by stochastic first-order differential equations. The material presented in this first part heavily relies in places on the treatment and results in the next chapters of the book. It can be best read after a first reading of the chapter 2-4. The second part (Chapter 2) contains a detailed treatment of stationary Markov processes with Gaussian distributions. These processes are called elementary Markov processes (EMP) by the author. Generation of EMP as solutions of first-order stable stochastic vector difference (in discrete- time) or differential (in continuous-time) equations is discussed and the covariance structure of EMP derived. The strong existing link between EMP and stationary Gaussian processes with rational spectral density (the so- called autoregressive moving-average (ARMA) processes) is shown. The important problem of deriving density functions and sufficient statistics for EMP is also part of this chapter. The third part (Chapters 3 and 4) presents the maximum likelihood (ML) estimation theory for one-dimensional respectively multi-dimensional EMP. ML estimators for the parameters of EMP are derived and their asymptotic distributional properties are established. Finally, the book contains two appendices with background material on linear differential equations with constant coefficients, respctively basic results on Gaussian systems and basic concepts in probability theory. It should be pointed out that there are several recent developments in the field of estimation of parameters of ARMA processes (possibly with exogeneous inputs) which are not even mentioned in the book. Most of these results have appeared in the control literature and may thus be less well-known to statisticians. Another minor criticism concerns the fact that only some few references from the extensive list of books and papers included are cited in the text. The aforementioned drawbacks may be compensated by the advantage to have a book treating together continuous-time and discrete-time EMP and revealing the interplay between these two treatments. This is indeed a special feature of the present book.
- Prediction and filtration of a partially observed vector ARMA system of first order
- On the parameter estimation of diffusional type processes with constant coefficients (elementary Gaussian processes)
- Nearly unstable AR models with coefficient matrices in Jordan normal form
- Stationarity and second-order properties of a scalar-valued nonlinear time series with Gaussian residuals
- Convergence of random step lines to Ornstein-Uhlenbeck-type processes
- Maximum likelihood estimators of parameters of multidimensional stationary Gaussian AR processes
- Numerical solutions of linear stochastic differential equations
- The distribution of estimates of parameters of multidimensional stationary AR processes
- Hellinger transform of Gaussian autoregressive processes
- Asymptotic inference for semimartingale models with singular parameter points
- Detection of gross errors by the Chauvenet test for observations connected in a homogeneous Markov chain
- New statistical investigations of the Ornstein-Uhlenbeck process.
- Estimation of the mean of stationary and nonstationary Ornstein-Uhlenbeck processes and sheets
- D-optimal designs for complex Ornstein-Uhlenbeck processes
- Statistical inference for stochastic differential equations with small noises
- On parameter estimation of the hidden Ornstein-Uhlenbeck process
- On numerical modeling of the multidimensional dynamic systems under random perturbations with the 1.5 and 2.0 orders of strong convergence
- The estimate of potential in stochastic Schrödinger's equation
- On sequential estimation of parameters in semimartingale regression models with continuous time parameter.
- Some properties of the Hellinger transform and its application in classification problems
- Exact distribution of estimators of parameters in Ornstein-Uhlenbeck processes
- Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable
- Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations
- On parameter estimation of hidden ergodic Ornstein-Uhlenbeck process
- On localization of source by hidden Gaussian processes with small noise
- 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
- On parameter estimation of the hidden Gaussian process in perturbed SDE
- 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
- Second-order continuous-time non-stationary Gaussian autoregression
- Asymptotic properties of Bayes estimators for Gaussian Itô\,-\,processes with noisy observations
- Hypothesis testing for nearly nonstationary AR(1) model with Gaussian autoregressive innovation
- On parameter estimation of stochastic delay differential equations with guaranteed accuracy by noisy observations
- Linear Sobolev type equations with relatively \(p\)-sectorial operators in space of ``noises
- Structure of stationary finite observation records of discrete-time stochastic linear systems
- Linear Sobolev type equations with relatively \(p\)-radial operators in space of ``noises
- Spectral representation of multivariate regularly varying Lévy and CARMA processes
- A mathematical framework for new fault detection schemes in nonlinear stochastic continuous-time dynamical systems
- scientific article; zbMATH DE number 193126 (Why is no real title available?)
- Recent results in the theory and applications of CARMA processes
- Evaluation of expectation of a functionals depending on the solution of linear stochastic equations
- Moments of the Limiting Distribution for the Boundary Case in the First Order Autoregressive Process
- scientific article; zbMATH DE number 7318972 (Why is no real title available?)
- 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
- scientific article; zbMATH DE number 7360724 (Why is no real title available?)
- 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 the optimal designs for the prediction of complex Ornstein-Uhlenbeck processes
- Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion
- Drift parameter estimation for nonlinear stochastic differential equations driven by fractional Brownian motion
- Implicit Linear Nonhomogeneous Difference Equation over ℤ with a Random Right-Hand Side
- On maximum likelihood estimation of the drift matrix of a degenerated O-U process
- On one approach to estimation of parameters of a two-dimensional process of linear diffusion in nonstationary case
- Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions
- Parameter Estimation of Complex Fractional Ornstein-Uhlenbeck Processes with Fractional Noise
- Probability bounds and asymptotic properties of error propagation
- A famous nonlinear stochastic equation (Lotka-Volterra model with diffusion)
- Robust estimators and probability integral transformations
- Le Cam-Stratonovich-Boole theory for Itô diffusions
- 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
- Modeling chandler and annual polar motion with account for lunar orbit precession
- Berry-Esséen bound for complex Wiener-Itô integral
- On parameter estimation of diffusion-type processes: sequential estimation revisited
- Statistical inference of the complex fractional Vasicek model with Hurst index H∈(0,12)
- Cramér-type moderate deviations for a second-order continuous-time non-ergodic Gaussian autoregression
- The application of the separation principle for the linear continuous systems with coloured noise
- Nearly unstable family of stochastic processes given by stochastic differential equations with time delay
- Multivariate CARMA processes
- Efficient pointwise estimation based on discrete data in ergodic nonparametric diffusions
- 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
This page was built for publication: Linear stochastic systems with constant coefficients. A statistical approach
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q797554)
