Parameter estimation for stochastic differential equations from noisy observations. Maximum likelihood and filtering techniques. Lipari 2009 biomathematics summer school.Reportar como inadecuado




Parameter estimation for stochastic differential equations from noisy observations. Maximum likelihood and filtering techniques. Lipari 2009 biomathematics summer school. - Descarga este documento en PDF. Documentación en PDF para descargar gratis. Disponible también para leer online.

1 MAP5 - MAP5 - Mathématiques Appliquées à Paris 5

Abstract : Consider a diffusion process $x t, t \ge 0$ given as the solution of a stochastic differential equation with unknown parameters in the drift and diffusion coefficients to be estimated. For simplicity, we consider that $x t$ is one-dimensional but multidimensional processes may be considered too. At times $0 \le t 1 < \ldots

Keywords : maximum likelihood filtering diffusions discrete observations





Autor: Valentine Genon-Catalot -

Fuente: https://hal.archives-ouvertes.fr/



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