On parameter estimation of the hidden Ornstein–Uhlenbeck process

Author:

Kutoyants Yury A.ORCID

Funder

RSF

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability

Reference23 articles.

1. Linear Stochastic Systems with Constant Coefficients: A Statistical Approach;Arato,1983

2. Asymptotic normality of the maximum likelihood estimator for general hidden markov models;Bickel;Ann. Statist.,1988

3. Inference in Hidden Markov Models;Cappé,2005

4. On frequency estimation for partially observed processes with small noises in state and observation equations;Chernoyarov;Komunikacie,2018

5. Maximum likelihood estimation for hidden markov models in continuous time;Chigansky;Stat. Inference Stoch. Process.,2009

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