Finite dimensional filters for maximum likelihood estimation of continuous-time linear Gaussian systems

2002 ◽  
Author(s):  
R.J. Elliott ◽  
V. Krishnamurthy
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Continuous Time ◽  
Likelihood Estimation ◽  
Finite Dimensional ◽  
Time Linear

On Maximum Likelihood Estimation of Continuous-Time Oscillators Modelled as Continuous-Time Autoregressive System

2019 ◽  
Vol 17 (07) ◽  
pp. 1214-1219
Author(s):  
Maria Coronel ◽  
Karen Gonzalez ◽  
Pedro Escarate ◽  
Rodrigo Carvajal ◽  
Juan Carlos Aguero
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Continuous Time ◽  
Likelihood Estimation

Maximum likelihood estimation for continuous-time stochastic processes

1976 ◽  
Vol 8 (4) ◽  
pp. 712-736 ◽  
Author(s):  
Paul David Feigin
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Stochastic Processes ◽  
Continuous Time ◽  
Asymptotic Theory ◽  
Likelihood Estimation ◽  
Diffusion Approximations ◽  
Limit Theory

This paper is mainly concerned with the asymptotic theory of maximum likelihood estimation for continuous-time stochastic processes. The role of martingale limit theory in this theory is developed. Some analogues of classical statistical concepts and quantities are also suggested. Various examples that illustrate parts of the theory are worked through, producing new results in some cases. The role of diffusion approximations in estimation is also explored.

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