On parameter estimation of the hidden Gaussian process in perturbed SDE

DOI10.1214/20-EJS1788zbMath1460.62139arXiv1904.09750OpenAlexW3119430106MaRDI QIDQ2219225

Li Zhou, Yury A. Kutoyants

Publication date: 19 January 2021

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.09750

zbMATH Keywords

parameter estimationstochastic differential equation (SDE)small noise asymptoticsfilter systemone-step MLE-process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Gaussian processes (60G15) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Asymptotic properties for quadratic functionals of linear self-repelling diffusion process and applications

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