Likelihood Based Statistics for Partially Observed Diffusion Processes
نویسنده
چکیده
The purpose of this paper is to study some statistical problems : parameter estimation, binary detection , change detection (disorder problem), etc. for partially observed diiusion processes, using the likelihood approach. It is shown that the stochastic PDE related to the state estimation problem, provides also a way to compute the likelihood function/ratio. A recent result on consistency of the MLE, in the small noise asymptotics, is also presented.
منابع مشابه
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