Seminar on Probability and Statistics

Seminar information archive ~07/13Next seminarFuture seminars 07/14~

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
[ 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)