ISSN:
1432-0606
Keywords:
Parameter estimation
;
Nonlinear filtering
;
Large deviations
;
62F12
;
93E10
;
93E11
;
60F10
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
Abstract In this paper we provide a consistency result for the MLE for partially observed diffusion processes with small noise intensities. We prove that if the underlying deterministic system enjoys an identifiability property, then any MLE is close to the true parameter if the noise intensities are small enough. The proof uses large deviations limits obtained by PDE vanishing viscosity methods. A deterministic method of parameter estimation is formulated. We also specialize our results to a binary detection problem, and compare deterministic and stochastic notions of identifiability.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF01189903
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