Identification of Nonstationary Diffusion Model by the Method of Sieves
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Publication:3949839
DOI10.1137/0320045zbMath0488.62062OpenAlexW1977582019MaRDI QIDQ3949839
Tuan D. Pham, Nguyen Trung Hung
Publication date: 1982
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0320045
stochastic differential equationsmethod of sievesrestricted maximum likelihood estimatorsnonstationary linear diffusion model
Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Signal detection and filtering (aspects of stochastic processes) (60G35) Identification in stochastic control theory (93E12)
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