Parameter estimation for partially observed linear stochastic system
by Chao Wei
International Journal of Mathematics in Operational Research (IJMOR), Vol. 14, No. 4, 2019

Abstract: This paper is concerned with the problem of parameter estimation for a partially observed linear stochastic system. The state estimator is obtained by using the continuous-time Kalman linear filtering theory. The likelihood function is given based on the innovation theorem and Girsanov theorem, the parameter estimator and error of estimation are derived. The strong consistency of the parameter estimator and the asymptotic normality of the error of estimation are proved by applying ergodic theorem, maximal inequality for martingale, Borel-Cantelli lemma and the central limit theorem for stochastic integrals.

Online publication date: Wed, 17-Jul-2019

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