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Více informací o knize Identification of Dynamical Systems with Small Noise

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• Anotace
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Anotace knihy

This volume studies parametric and nonparametric estimation through the observation of diffusion-type processes. The properties of maximum likelihood, Bayes, and minimum distance estimators are considered in the context of the asymptotics of low noise. It is shown that, under certain conditions relating to regularity, these estimators are consistent and asymptotically normal. Their properties in nonregular cases are also discussed. Here, nonregularity means the absence of derivatives with respect to parameters, random initial value, incorrectly specified observations, nonidentifiable models, etc. §The book has seven chapters. The first presents some auxiliary results needed in the subsequent work. Chapter 2 is devoted to the asymptotic properties of estimators in standard and nonstandard situations. Chapter 3 considers expansions of the maximum likelihood estimator and the distribution function. Chapters 4 and 5 cover nonparametric estimation and the disorder problem. Chapter 6 discusses problems of parameter estimator for linear and nonlinear partially observed models. The final chapter studies the properties of a wide range of minimum distance estimators. The book concludes with a remarks section, references and index. §The volume will be of interest to statisticians, researchers in probability theory and stochastic processes, systems theory and communication theory.

Parametry knihy

Zařazení knihy Knihy v angličtině Mathematics & science Biology, life sciences Zoology & animal sciences

• Plný název: Identification of Dynamical Systems with Small Noise
• Autor: Yury A. Kutoyants
• Jazyk: Angličtina
• Vazba: Pevná
• Počet stran: 301
• EAN: 9780792330530
• ISBN: 0792330536
• ID: 01394518
• Nakladatelství: Springer Netherlands
• Hmotnost: 696 g
• Rozměry: 247 × 163 × 22 mm
• Rok vydání: 1994

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