Concepedia

On asymptotic properties of maximum likelihood estimators for parabolic stochastic PDE's

Marianne Huebner, B. L. Rozovskiĭ

Probability Theory and Related Fields · 1995 · 95 citations · 6 references

Open access

Concepts

EngineeringMathematicsProbability TheoryStochastic ModelingStochastic ProcessesDiffusion ProcessesLikelihood EstimationMaximum Likelihood EstimationParameter EstimationParameter Estimation Under UncertaintyStochastic Differential EquationsAsymptotic ExpansionsAsymptotic PropertiesAsymptotic TheoryLikelihood AsymptoticsMaximum Likelihood EstimatorParabolic Partial Differential EquationsParameter Estimation For Stochastic Differential Equations

References

6

Limit Theorems for Stochastic Processes.

Ditlev Monrad, Jean Jacod, Albert N. Shiryaev · Journal of the American Statistical Association · 1988 · 4.2K citations

Engineering, Mathematics, Financial Economics +16

On stochastic processes (I)

Kiyosi Itô · Japanese journal of mathematics · 1941 · 307 citations · Full text

Engineering, Mathematics, Probability Theory +11

Parameter Estimation for Stochastic Processes.

Yi‐Ching Yao, Yury A. Kutoyants · Journal of the American Statistical Association · 1987 · 265 citations

Engineering, Mathematics, Probability Theory +13

Parameter identification in infinite dimensional linear systems

Arunabha Bagchi, Vivek S. Borkar · 1981 · 36 citations

Engineering, Mathematics, Systems Engineering +12

Girsanov's theorem in Hilbert space and an application to the statistics of Hilbert space- valued stochastic differential equations

Wilfried Loges · Stochastic Processes and their Applications · 1984 · 30 citations

Natural Sciences, Mathematics, Probability Theory +13