Recursive identification in continuous-time stochastic processes

DOI10.1016/0304-4149(94)90137-6zbMath0795.62070OpenAlexW2011866684WikidataQ59313623 ScholiaQ59313623MaRDI QIDQ1316601

Ofer Zeitouni, David Levanony, Adam Shwartz

Publication date: 10 April 1994

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(94)90137-6

zbMATH Keywords

algorithmconsistencyasymptotic efficiencydiffusion processesnonstationary processesgradient algorithmsrecursive parameter estimationfirst order approximationsNewton type algorithmsdivergent processesgeneralized Itô differentiation rulemaximum lieklihood estimatorMLE evolution equation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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