Estimating stochastic dynamical systems driven by a continuous-time jump Markov process

DOI10.1007/s11009-006-0423-zzbMath1118.62087OpenAlexW2068896871MaRDI QIDQ861540

Julien Chiquet, Nikolaos Limnios

Publication date: 29 January 2007

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://hal-cea.archives-ouvertes.fr/cea-02360117/file/Chiquet-Limnios2006_Article_EstimatingStochasticDynamicalS.pdf

zbMATH Keywords

fatigue crack growthMarkov processmaximum-likelihood estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Other physical applications of random processes (60K40) Continuous-time Markov processes on discrete state spaces (60J27) Reliability and life testing (62N05)

Related Items (5)

Reliability and survival analysis for drifting Markov models: modeling and estimation ⋮ Dynamic measurement of poverty: modeling and estimation ⋮ A method to compute the transition function of a piecewise deterministic Markov process with application to reliability ⋮ Estimation using plug-in of the stationary distribution and Shannon entropy of continuous time Markov processes ⋮ Piecewise deterministic Markov processes applied to fatigue crack growth modelling

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