Geodesic
An approach to the parameter estimation of two-dimensional linear diffusion process in a nonstationary case
Teoriâ veroâtnostej i ee primeneniâ, Tome 59 (2014) no. 2, pp. 386-391 Cet article a éte moissonné depuis la source Math-Net.Ru

Voir la notice de l'article

@article{TVP_2014_59_2_a9,
     author = {A. N. Startsev},
     title = {An approach to the parameter estimation of two-dimensional linear diffusion process in a nonstationary case},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {386--391},
     year = {2014},
     volume = {59},
     number = {2},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2014_59_2_a9/}
}
TY  - JOUR
AU  - A. N. Startsev
TI  - An approach to the parameter estimation of two-dimensional linear diffusion process in a nonstationary case
JO  - Teoriâ veroâtnostej i ee primeneniâ
PY  - 2014
SP  - 386
EP  - 391
VL  - 59
IS  - 2
UR  - http://geodesic.mathdoc.fr/item/TVP_2014_59_2_a9/
LA  - ru
ID  - TVP_2014_59_2_a9
ER  - 
%0 Journal Article
%A A. N. Startsev
%T An approach to the parameter estimation of two-dimensional linear diffusion process in a nonstationary case
%J Teoriâ veroâtnostej i ee primeneniâ
%D 2014
%P 386-391
%V 59
%N 2
%U http://geodesic.mathdoc.fr/item/TVP_2014_59_2_a9/
%G ru
%F TVP_2014_59_2_a9
A. N. Startsev. An approach to the parameter estimation of two-dimensional linear diffusion process in a nonstationary case. Teoriâ veroâtnostej i ee primeneniâ, Tome 59 (2014) no. 2, pp. 386-391. http://geodesic.mathdoc.fr/item/TVP_2014_59_2_a9/

[1] Kolmogorov A. N., Arato M., Sinai Ya. G., “Ob otsenke parametrov kompleksnogo statsionarnogo gaussovskogo markovskogo protsessa”, Dokl. AN SSSR, 146:4 (1962), 747–750 | Zbl

[2] Arato M., Lineinye stokhasticheskie sistemy s postoyannymi koeffitsientami, Nauka, M., 1989, 304 pp.

[3] Liptser R. Sh., Shiryaev A. N., Statistika sluchainykh protsessov, Nauka, M., 1974, 696 pp.

[4] Startsev A. N., “A new approach to estimation of an autoregressive parameter”, Probability Theory and Mathematical Statistics (Kiev, 1991), World Scientific Publ., River Edge, 1992, 377–381 | MR | Zbl

[5] Startsev A. N., “Ob odnom novom podkhode k otsenke parametra snosa protsessa lineinoi diffuzii”, Uzb. matem. zhurn., 1995, no. 4, 72–76

[6] Durbin J., “Estimation of parameters in time-series regression models”, J. Roy. Statist. Soc. Ser. B, 22 (1960), 139–153 | MR | Zbl

[7] Feigin P. D., “Maximum likelihood estimation for continuous-time stochastic processes”, Adv. Appl. Probab., 8:4 (1976), 712–736 | DOI | MR | Zbl