PARAMETER-ESTIMATION FOR KALMAN-BUCY FILTER WITH SMALL NOISE

Authors
KUTOYANTS Y POHLMANN H
Citation
Y. Kutoyants et H. Pohlmann, PARAMETER-ESTIMATION FOR KALMAN-BUCY FILTER WITH SMALL NOISE, Statistics, 25(4), 1994, pp. 307-323
Citations number
9
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Statistics → ACNP
ISSN journal
02331888
Volume
25
Issue
4
Year of publication
1994
Pages
307 - 323
Database
ISI
SICI code
0233-1888(1994)25:4<307:PFKFWS>2.0.ZU;2-C
Abstract
The asymptotic behavior of the MLE of a parameter of partially observe d linear system is studied. Using asymptotic expansion of this estimat e by the powers of diffusion coefficient the consistency and asymptoti c normality of MLE are proved. The time of observation is supposed to be fixed and the asymptotics corresponds to small noises in observed a nd nonobserved equations.