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Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations
Parametric estimation the driving Lévy process of multivariate CARMA processes discrete observations
2012/11/23
We consider the parametric estimation of the driving L\'evy process of a multivariate continuous-time autoregressive moving average (MCARMA) process, which is observed on the discrete time grid $(0,h,...
Filtering and parameter estimation for a jump stochastic process with discrete observations
Filtering parameter estimation discrete observations
2009/3/19
A compound Poisson process is considered. We estimate the current position of the stochastic process based on past discrete-time observations (non-linear discrete filtering problem) in Bayesian settin...
Estimation for Dynamical Systems with Small Noise from Discrete Observations
discrete time observation dynamical systems with small noise M-estimator parametric inference quadratic martingale estimating function
2009/3/10
We consider an efficient estimation of an unknown parameter appearing in both the drift and the diffusion coefficient for a d-dimensional dynamical system with small noise. Asymptotic properties of an...
ESTIMATORS OF DIFFUSIONS WITH RANDOMLY SPACED DISCRETE OBSERVATIONS: A GENERAL THEORY
Diffusions likelihood discrete and random sampling
2014/3/13
We provide a general method to analyze the asymptotic properties of a variety of estimators of continuous time diffusion processes when the data are not only discretely sampled in time but the time se...