Consistent parameter estimation for partially observed diffusions with small noise - Inria - Institut national de recherche en sciences et technologies du numérique Access content directly
Journal Articles Applied Mathematics and Optimization Year : 1995

Consistent parameter estimation for partially observed diffusions with small noise

Abstract

In this paper we provide a consistency result for the MLE for partially observed diffusion processes with small noise intensities. We prove that if the underlying deterministic system enjoys an identifiability property, then any MLE is close to the true parameter if the noise intensities are small enough. The proof uses large deviations limits obtained by PDE vanishing viscosity methods. A deterministic method of parameter estimation is formulated. We also specialize our results to a binary detection problem, and compare deterministic and stochastic notions of identifiability.

Dates and versions

hal-00912056 , version 1 (02-12-2013)

Identifiers

Cite

Matthew R. James, François Le Gland. Consistent parameter estimation for partially observed diffusions with small noise. Applied Mathematics and Optimization, 1995, 32 (1), pp.47-72. ⟨10.1007/BF01189903⟩. ⟨hal-00912056⟩
199 View
0 Download

Altmetric

Share

Gmail Facebook X LinkedIn More