Identification of Dynamical Systems with Small Noise (Hardcover, 1994 ed.)

Small noise is a good noise. In this work, we are interested in the problems of estimation theory concerned with observations of the diffusion-type process Xo = Xo, 0 ~ t ~ T, (0. 1) where W is a standard Wiener process and St(') is some nonanticipative smooth t function. By the observations X = {X , 0 ~ t ~ T} of this process, we will solve some t of the problems of identification, both parametric and nonparametric. If the trend S(-) is known up to the value of some finite-dimensional parameter St(X) = St((}, X), where (} E e c Rd , then we have a parametric case. The nonparametric problems arise if we know only the degree of smoothness of the function St(X), 0 ~ t ~ T with respect to time t. It is supposed that the diffusion coefficient c is always known. In the parametric case, we describe the asymptotical properties of maximum likelihood (MLE), Bayes (BE) and minimum distance (MDE) estimators as c --+ 0 and in the nonparametric situation, we investigate some kernel-type estimators of unknown functions (say, StO,O ~ t ~ T). The asymptotic in such problems of estimation for this scheme of observations was usually considered as T --+ 00 , because this limit is a direct analog to the traditional limit (n --+ 00) in the classical mathematical statistics of i. i. d. observations. The limit c --+ 0 in (0. 1) is interesting for the following reasons.

General

Imprint:	Springer
Country of origin:	Netherlands
Series:	Mathematics and Its Applications, 300
Release date:	August 1994
First published:	1994
Authors:	Yury A. Kutoyants
Dimensions:	235 x 155 x 19mm (L x W x T)
Format:	Hardcover
Pages:	301
Edition:	1994 ed.
ISBN-13:	978-0-7923-3053-0
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics Books > Science & Mathematics > Biology, life sciences > Zoology & animal sciences > Animal ecology
LSN:	0-7923-3053-6
Barcode:	9780792330530

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