Uniform approximate estimation for nonlinear nonhomogeneous stochastic system with unknown parameter
type: Item
instance of: scholarly article
title: Uniform approximate estimation for nonlinear nonhomogeneous stochastic system with unknown parameter
zbMATH Open document ID: 1264.65009
DOI: 10.1155/2012/421754
author: Xiu Kan
author: Huisheng Shu
published in: Mathematical Problems in Engineering
publication date: 2013-06-11T00:00:00Z
review text: Summary: The error bound in probability between the approximate maximum likelihood estimator (AMLE) and the continuous maximum likelihood estimator (MLE) is investigated for nonlinear nonhomogenous stochastic system with unknown parameter. The rates of convergence of the approximations for Itô and ordinary integral are introduced under some regular assumptions. Based on these results, the in probability rate of convergence of the approximate log-likelihood function to the true continuous log-likelihood function is studied for the nonlinear nonhomogenous stochastic system involving unknown parameter. Finally, the main result which gives the error bound in probability between the ALME and the continuous MLE is established.
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 6173272
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2012/421754
OpenAlex ID: W2012997663
Wikidata QID: Q58911618
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description: scientific article; zbMATH DE number 6173272