Parameter estimation in nonlinear stochastic differential equations

DOI10.1016/S0960-0779(00)00015-1zbMath0956.62070arXivnlin/0001019OpenAlexW2102078856MaRDI QIDQ1587266

R. Smith

Publication date: 11 March 2001

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/nlin/0001019

zbMATH Keywords

simulationtime seriesmaximum likelihoodnonlinear stochastic differential equationsquasi maximum likelihood

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items

Parameter estimation of uncertain differential equation with application to financial market ⋮ Ergodicity of stochastic smoking model and parameter estimation ⋮ Nonlinear filtering for a dust-perturbed two-body model ⋮ Le Cam-Stratonovich-Boole theory for Itô diffusions ⋮ Estimation of parameters in mean-reverting stochastic systems ⋮ Parameter estimation for the stochastic SIS epidemic model ⋮ Filtering for a Duffing-van der Pol stochastic differential equation ⋮ Encoding Fuzzy Diagnosis Rules as Optimisation Problems ⋮ NONLINEAR DYNAMICAL SYSTEM IDENTIFICATION FROM UNCERTAIN AND INDIRECT MEASUREMENTS ⋮ An approximate gradient-descent method for joint parameter estimation and synchronization of coupled chaotic systems ⋮ RECONSTRUCTION OF THE DETERMINISTIC DYNAMICS OF STOCHASTIC SYSTEMS ⋮ Identification of chaotic systems with hidden variables (modified Bock's algorithm) ⋮ On a recursive method for the estimation of unknown parameters of partially observed chaotic systems

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Effect of noise and perturbations on limit cycle systems
• Modelling the fast fluorescence rise of photosynthesis
• Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
• Smoothing techniques for curve estimation. Proceedings of a workshop held in Heidelberg, April 2-4, 1979
• Martingale estimation functions for discretely observed diffusion processes
• Analysis of data sets of stochastic systems
• Estimation of the coefficients of a diffusion from discrete observations
• Approximate discrete-time schemes for statistics of diffusion processes
• THE NUMERICAL SOLUTION OF NONLINEAR STOCHASTIC DYNAMICAL SYSTEMS: A BRIEF INTRODUCTION
• Comparative study of estimation methods for continuous time stochastic processes
• Modeling Noisy Time Series: Physiological Tremor
• Handbook of stochastic methods for physics, chemistry and natural sciences.

This page was built for publication: Parameter estimation in nonlinear stochastic differential equations