Robust parameter estimation for stochastic differential equations
From MaRDI portal
Recommendations
- Robustness in Stochastic Filtering and Maximum Likelihood Estimation for SDEs
- Stochastic equations in the problems of semimartingale parameter estimation
- On the stochastic differential equations of filtering theory
- On the stochastic differential equations of filtering theory
- Estimation of the parameters in stochastic differential equations
Cites work
- A differential geometric approach to nonlinear filtering: the projection filter
- An introduction to the theory of large deviations
- Approximation of the Zakai Equation for Nonlinear Filtering
- Asymptotic a priori estimates for the error in the nonlinear filtering problem (Corresp.)
- Consistent parameter estimation for partially observed diffusions with small noise
- Convergence of a Branching Particle Method to the Solution of the Zakai Equation
- Densities of a measure-valued process governed by a stochastic partial differential equation
- Diffusions conditionnelles. I. Hypoellipticité partielle
- Estimation of Stochastic Systems: Arbitrary System Process with Additive White Noise Observation Errors
- Explicit strong solutions of SPDE's with applications to nonlinear filtering
- Functional Integration and Partial Differential Equations. (AM-109)
- Galerkin Approximation for Optimal Linear Filtering of Infinite-Dimensional Linear Systems
- scientific article; zbMATH DE number 3862279 (Why is no real title available?)
- scientific article; zbMATH DE number 3701980 (Why is no real title available?)
- scientific article; zbMATH DE number 3718234 (Why is no real title available?)
- scientific article; zbMATH DE number 3766795 (Why is no real title available?)
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 780714 (Why is no real title available?)
- scientific article; zbMATH DE number 3388297 (Why is no real title available?)
- MLE for partially observed diffusions: Direct maximization vs. the EM algorithm
- Nonlinear Filtering Revisited: A Spectral Approach
- On measure transformations for combined filtering and parameter estimation in discrete time
- On the continuity of conditional expectations
- On the optimal filtering of diffusion processes
- On the stability problem for conditional expectation
- Parameter estimation in linear filtering
- Robustness of the nonlinear filter
- Régularité des lois conditionnelles en théorie du filtrage non-linéaire et calcul des variations stochastique
- Small perturbations of Gaussian regressors
- Solving parabolic Wick-stochastic boundary value problems using a finite element method
- Square integrable martingales orthogonal to every stochastic integral
- Stochastic Differential Equations Occurring in the Estimation of Continuous Parameter Stochastic Processes
- Stochastic differential equations. An introduction with applications.
- Unique characterization of conditional distributions in nonlinear filtering
- Uniqueness and robustness of solution of measure-valued equations of nonlinear filtering
Cited in
(8)- Parameter estimation for a type of nonlinear stochastic models observed with error
- Parameter estimation in SDEs via the Fokker-Planck equation: likelihood function and adjoint based gradient computation
- Robust estimation of parameters in nonlinear ordinary differential equation models
- Estimation for incomplete information stochastic systems from discrete observations
- Asymptotic properties of Bayes estimators for Gaussian Itô\,-\,processes with noisy observations
- A stochastic analysis of robust estimation algorithms inH∞with rational basis functions
- Optimal parameter trajectory estimation in parameterized SDEs: an algorithmic procedure
- Robustness in Stochastic Filtering and Maximum Likelihood Estimation for SDEs
This page was built for publication: Robust parameter estimation for stochastic differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1774563)
