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Seminar on Probability and Statistics
Seminar information archive ～05/23｜Next seminar｜Future seminars 05/24～
| Organizer(s) | Nakahiro Yoshida, Hiroki Masuda, Teppei Ogihara, Yuta Koike |
|---|
2019/03/13
14:00-15:10 Room #052 (Graduate School of Math. Sci. Bldg.)
Yury A. Kutoyants (Laboratoire Manceau de Mathématiques, Le Mans University)
On parameter estimation of hidden Markov processes
Yury A. Kutoyants (Laboratoire Manceau de Mathématiques, Le Mans University)
On parameter estimation of hidden Markov processes
[ Abstract ]
We present a survey of several results devoted to parameter estimation of partially observed models. The hidden processes are Ornstein-Uhlenbeck process and Telegraph process. We describe the asymptotic behavior of the MLE and BE of the unknown parameters of hidden processes and special attention is paid to a new class of estimators called Multi-step MLE-processes, which have the same asymptotic properties as the MLE but can be calculated much easier than MLE.
The corresponding articles are
1.Kutoyants Yu. A., " On the multi-step MLE-process for ergodic
diffusion", (arXiv 1504.01869) Stochastic Processes and their
Applications, 2017, 127, 2243-2261.
2.Khasminskii, R. Z. and Kutoyants, Yu. A. "On parameter estimation of
hidden telegraph process". (arXiv:1509.02704 ) Bernoulli, 2018, 24, 3,
2064-2090.
3.Kutoyants, Yu. A. "On parameter estimation of hidden
Ornstein-Uhlenbeck process", Journal of Multivariate Analysis. 2019,
169, 1, 248-263.
4.Kutoyants, Yu. A. "On parameter estimation of hidden ergodic
Ornstein-Uhlenbeck process", 2019, submitted (arXiv:1902.08500)
We present a survey of several results devoted to parameter estimation of partially observed models. The hidden processes are Ornstein-Uhlenbeck process and Telegraph process. We describe the asymptotic behavior of the MLE and BE of the unknown parameters of hidden processes and special attention is paid to a new class of estimators called Multi-step MLE-processes, which have the same asymptotic properties as the MLE but can be calculated much easier than MLE.
The corresponding articles are
1.Kutoyants Yu. A., " On the multi-step MLE-process for ergodic
diffusion", (arXiv 1504.01869) Stochastic Processes and their
Applications, 2017, 127, 2243-2261.
2.Khasminskii, R. Z. and Kutoyants, Yu. A. "On parameter estimation of
hidden telegraph process". (arXiv:1509.02704 ) Bernoulli, 2018, 24, 3,
2064-2090.
3.Kutoyants, Yu. A. "On parameter estimation of hidden
Ornstein-Uhlenbeck process", Journal of Multivariate Analysis. 2019,
169, 1, 248-263.
4.Kutoyants, Yu. A. "On parameter estimation of hidden ergodic
Ornstein-Uhlenbeck process", 2019, submitted (arXiv:1902.08500)
