Parameter estimation in linear filtering

DOI10.1016/0047-259X(91)90102-8zbMath0768.62086MaRDI QIDQ1182763

R. S. Selukar, Gopinath Kallianpur

Publication date: 28 June 1992

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

asymptotic normalityefficiencylocal asymptotic normalityKalman filtermaximum likelihood estimatorlinear filteringstrong consistencyconvergence of momentslarge deviation inequalityindependent Wiener processespartially observable random process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Inference from stochastic processes (62M99) Large deviations (60F10)

Related Items (10)

Parameter estimation for continuous time hidden Markov processes ⋮ Local asymptotic normality and estimation via Kalman-Bucy filter for linear systems driven by fractional Brownian motions ⋮ Asymptotic parameter estimation for a class of linear stochastic systems using Kalman-Bucy filtering ⋮ Maximum likelihood estimation of hidden Markov processes ⋮ Parameter estimation in linear filtering ⋮ Asymptotic properties of Bayes estimators for Gaussian Itô\,-\,processes with noisy observations ⋮ Robust parameter estimation for stochastic differential equations ⋮ Maximum Likelihood Estimation in Partially Observed Stochastic Differential System Driven by a Fractional Brownian Motion ⋮ On localization of source by hidden Gaussian processes with small noise ⋮ Identification of a Markovian system with observations corrupted by a fractional Brownian motion

Cites Work

• Parameter estimation in linear filtering
• Stochastic differential systems. I: Filtering and control. A function space approach
• Parameter identification in infinte dimensional linear systems
• Linear Statistical Inference and its Applications
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