Uniform approximate estimation for nonlinear nonhomogeneous stochastic system with unknown parameter
Summary: The error bound in probability between the approximate maximum likelihood estimator (AMLE) and the continuous maximum likelihood estimator (MLE) is investigated for nonlinear nonhomogenous stochastic system with unknown parameter. The rates of convergence of the approximations for Itô and ordinary integral are introduced under some regular assumptions. Based on these results, the in probability rate of convergence of the approximate log-likelihood function to the true continuous log-likelihood function is studied for the nonlinear nonhomogenous stochastic system involving unknown parameter. Finally, the main result which gives the error bound in probability between the ALME and the continuous MLE is established.
- Parameter estimation for partially observed nonlinear nonhomogeneous stochastic system
- Asymptotic minimax estimation in nonlinear stochastic differential equations from discrete observations
- scientific article; zbMATH DE number 6831170
- Parameter estimation for partially observed nonlinear stochastic system
- Publication:5753410
- \(H_{\infty }\) sliding mode observer design for a class of nonlinear discrete time-delay systems: a delay-fractioning approach
- A delay fractioning approach to robust sliding mode control for discrete-time stochastic systems with randomly occurring non-linearities
- Consistency and asymptotic normality of an approximate maximum likelihood estimator for discretely observed diffusion processes
- Distributed Filtering for a Class of Time-Varying Systems Over Sensor Networks With Quantization Errors and Successive Packet Dropouts
- Estimation of the coefficients of a diffusion from discrete observations
- scientific article; zbMATH DE number 4176275 (Why is no real title available?)
- scientific article; zbMATH DE number 3575446 (Why is no real title available?)
- scientific article; zbMATH DE number 3628236 (Why is no real title available?)
- scientific article; zbMATH DE number 1099342 (Why is no real title available?)
- scientific article; zbMATH DE number 1432782 (Why is no real title available?)
- scientific article; zbMATH DE number 3221816 (Why is no real title available?)
- Maximnm contrast estimation for diffusion processes from discrete observations
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Minimum contrast estimation in diffusion processes
- On Nonlinear $H_{\infty }$ Filtering for Discrete-Time Stochastic Systems With Missing Measurements
- Parameter estimation in continuous-time stochastic processes
- Parameter estimation in stochastic differential equations.
- Probability-guaranteed \(H_\infty\) finite-horizon filtering for a class of nonlinear time-varying systems with sensor saturations
- Rates of convergence for minimum contrast estimators
- Recursive identification in continuous-time stochastic processes
- Robust $H_{\infty}$ Filtering for a Class of Nonlinear Networked Systems With Multiple Stochastic Communication Delays and Packet Dropouts
- Robust \(H_{\infty }\) sliding mode control for discrete time-delay systems with stochastic nonlinearities
- Robust Estimation of a Location Parameter
This page was built for publication: Uniform approximate estimation for nonlinear nonhomogeneous stochastic system with unknown parameter
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1954763)
