Parameter estimation for kalman-bucy filter with small noise

DOI10.1080/02331889408802455zbMath0811.62082OpenAlexW2018478173MaRDI QIDQ4763465

H. Pohlmann, Yury A. Kutoyants

Publication date: 10 April 1995

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889408802455

zbMATH Keywords

consistencyasymptotic expansionasymptotic normalitymaximum likelihood estimationpartially observed linear systempowers of diffusion coefficient

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Markov processes: estimation; hidden Markov models (62M05)

Related Items (3)

Parameter estimation for continuous time hidden Markov processes ⋮ Drift estimation of a certain class of diffusion processes from discrete observation ⋮ Maximum Likelihood Estimation in Partially Observed Stochastic Differential System Driven by a Fractional Brownian Motion

Cites Work

• Expansion of a Maximum Likelihood Estimate by Diffusion Powers
• An Asymptotic Expansion for a Class of Estimators Containing Maximum Likelihood Estimators
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