CONTINUOUS-TIME DYNAMICAL SYSTEMS WITH SAMPLED DATA, ERRORS OF MEASUREMENT AND UNOBSERVED COMPONENTS

DOI10.1111/j.1467-9892.1993.tb00162.xzbMath0780.62064OpenAlexW2079762321MaRDI QIDQ4272772

Hermann Singer

Publication date: 20 December 1993

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00162.x

zbMATH Keywords

EM algorithmmaximum likelihood estimationsimulation studiesdiscrete measurementsscoring algorithmerrors of measurementunobserved statessunspot activityquasi- Newton algorithmscontinuous/discrete state space modelexact analytical derivativessampled continuous-time stochastic processes

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

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