Zobrazeno 1 - 10
of 157
pro vyhledávání: '"Kutoyants, Yury A."'
Autor:
Kutoyants, Yury A.
The model of partially observed linear system depending on some unknown parameters is considered. An approximation of the unobserved component is proposed. This approximation is realized in three steps. First an estimator of the method of moments of
Externí odkaz:
http://arxiv.org/abs/2304.09531
Autor:
Kutoyants, Yury A.
The model of partially observed linear stochastic differential equations depending on some unknown parameters is considered. An proximation of the unobserved component is proposed. This approximation is realized in three steps. First an estimator of
Externí odkaz:
http://arxiv.org/abs/2304.08857
Autor:
Kutoyants, Yury A.
Publikováno v:
In Stochastic Processes and their Applications July 2024 173
In the present paper the problem of approximating the solution of BSDE is considered in the case where the solution of forward equation is observed in the presence of small Gaussian noise. We suppose that the volatility of the forward equation depend
Externí odkaz:
http://arxiv.org/abs/2010.07618
Autor:
Kutoyants, Yury A.
We consider the problem of delay estimation by the observations of the solutions of several SDEs. It is known that the MLE for these models are consistent and asymptotically normal, but the likelihood ratio functions are not differentiable w.r.t. par
Externí odkaz:
http://arxiv.org/abs/2010.07624
Autor:
Kutoyants, Yury A.
The partially observed linear Gaussian system of stochastic differential equations with low noise in observations is considered. A kernel-type estimators are used for estimation of the quadratic variation of the derivative of the limit of the observe
Externí odkaz:
http://arxiv.org/abs/2010.07603
Autor:
Kutoyants, Yury A.
We consider the problem of parameter estimation in a partially observed linear Gaussian system with small noises in the state and observation equations. We describe asymptotic properties of the MLE and Bayes estimators in the setting with state and o
Externí odkaz:
http://arxiv.org/abs/2010.07596
Autor:
Kutoyants, Yury A., Zhou, Li
We present results on parameter estimation and non-parameter estimation of the linear partially observed Gaussian system of stochastic differential equations. We propose new one-step estimators which have the same asymptotic properties as the MLE, bu
Externí odkaz:
http://arxiv.org/abs/1904.09750