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Parameter estimation for kalman-bucy filter with small noise

 

作者: Yu. Kutoyants,   H. Pohlmann,  

 

期刊: Statistics  （Taylor Available online 1994）
卷期: Volume 25, issue 4  

页码: 307-323

 

ISSN:0233-1888

 

年代: 1994

 

DOI:10.1080/02331889408802455

 

出版商: Gordon & Breach Science Publishers

 

关键词: Parameter estimation;partially observed linear systems;asymptotic expansion

 

数据来源: Taylor

 

摘要:

The asymptotic behavior of the MLE of a parameter of partially observed linear system is studied. Using asymptotic expansion of this estimate by the powers of diffusion coefficient the consistency and asymptotic normality of MLE are proved. The time of observation is supposed to be fixed and the asymptotics corresponds to small noises in observed and nonobserved equations.

 

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