Journal of the Korean Statistical Society

  • 제27권2호
  • /
  • Pages.221-235
  • /
  • 1998
  • /
  • 1226-3192(pISSN)
  • /
  • 2005-2863(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

A Quasi-Likelihood Approach to Nonlinear Filtering Problems

  • 발행 : 1998.06.01
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초록

Suppose that an observed process can be written as the additive model of the signal process and the noise process with unknown parameters. In practice the signal process is not directly observed. We consider the problem of estimating parameter from the observation process using the quasi-likelihood method.

키워드

참고문헌

  1. International Statistical Review v.55 Quasi-likelihood and potimal estimation Godambe, V.P.;Heyde, C. C.
  2. Studies in Applied Probability (Journal of Applied Probability Vol 31A) A quasi-likelihood approach to estimating parameters in diffusion-type processes Heyde, C. C.
  3. Stochastic Prosesses and their Applications v.22 Quasi-likelihood estimation for semimartingales Hutton, J.E.;Nelson, P.I.
  4. Stochastic Filtering Theory Kallianpur, G.
  5. Parameter Estimation in infinite-dimensional Stochastic Differential Equations Kim, Y.T.
  6. Stochastic v.3 A strong law of large numbers for local mrtingales Liptser, R. S.
  7. Statistics of Random Peocesses v.1;2 Liptser, R.S.;Shiryaev, A.M.
  8. Linear Statistical Inference and its Applications Rao, C.R.