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Filtering and parameter estimation for a jump stochastic process with discrete observations
Filtering parameter estimation discrete observations
2009/3/19
A compound Poisson process is considered. We estimate the current position of the stochastic process based on past discrete-time observations (non-linear discrete filtering problem) in Bayesian settin...
Estimation for Dynamical Systems with Small Noise from Discrete Observations
discrete time observation dynamical systems with small noise M-estimator parametric inference quadratic martingale estimating function
2009/3/10
We consider an efficient estimation of an unknown parameter appearing in both the drift and the diffusion coefficient for a d-dimensional dynamical system with small noise. Asymptotic properties of an...