Parameter estimation for partially observed hypoelliptic diffusions
نویسندگان
چکیده
منابع مشابه
Parameter Estimation for Partially Observed Hypoellip- tic Diffusions
Hypoelliptic diffusion processes can be used to model a variety of phenomena in applications ranging from molecular dynamics to audio signal analysis. We study parameter estimation for such processes in situations where we observe some components of the solution at discrete times. Since exact likelihoods for the transition densities are typically not known, approximations are used that are expe...
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ژورنال
عنوان ژورنال: Journal of the Royal Statistical Society: Series B (Statistical Methodology)
سال: 2009
ISSN: 1369-7412,1467-9868
DOI: 10.1111/j.1467-9868.2008.00689.x