On identification of continuous time hidden Markov processes: a survey
We consider several models of partially observed stochastic linear systems and discuss the problems of parameter estimation. We describe the asymptotic properties of the MLE, Bayes estimators and One-step MLE-processes in two different asymptotics: small noise and large samples. In all problems we...
| Published in: | Международная научная конференция "Робастная статистика и финансовая математика - 2019" (04-06 июля 2019 г.) : сборник статей С. 26-35 |
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| Format: | Book Chapter |
| Language: | English |
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| Online Access: | http://vital.lib.tsu.ru/vital/access/manager/Repository/vtls:000790463 Перейти в каталог НБ ТГУ |