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Digitale Medien

Consistent parameter estimation for partially observed diffusions with small noise (1995)

James, M. R. ; Gland, F.

Springer

Applied mathematics & optimization 32 (1995), S. 47-72

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ISSN: 1432-0606

Schlagwort(e): Parameter estimation ; Nonlinear filtering ; Large deviations ; 62F12 ; 93E10 ; 93E11 ; 60F10

Quelle: Springer Online Journal Archives 1860-2000

Thema: Mathematik

Notizen: 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.

Materialart: Digitale Medien

URL: http://dx.doi.org/10.1007/BF01189903

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