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Parameter Estimation of a Partially Observed Hypoelliptic Stochastic Linear System

Author

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  • Nilton O. B. Ávido

    (Polytechnic Institute of Huila, Mandume Ya Ndemufayo University, Arimba Main Road, 776, Lubango P.O. Box 201, Angola
    Center for Mathematics of the University of Porto (CMUP), Rua do Campo Alegre s/n, 4169-007 Porto, Portugal)

  • Paula Milheiro-Oliveira

    (Center for Mathematics of the University of Porto (CMUP), Rua do Campo Alegre s/n, 4169-007 Porto, Portugal
    Faculty of Engineering, University of Porto, Rua do Dr Roberto Frias s/n, 4200-465 Porto, Portugal)

Abstract

In this article, we address the problem of the parameter estimation of a partially observed linear hypoelliptic stochastic system in continuous time, a relevant problem in various fields, including mechanical and structural engineering. We propose an online approach which is an approximation to the expectation–maximization (EM) algorithm. This approach combines the Kalman–Bucy filter, to deal with partial observations, with the maximum likelihood estimator for a degenerate n -dimensional system under complete observation. The performance of the proposed approach is illustrated by means of a simulation study undertaken on a harmonic oscillator that describes the dynamic behavior of an elementary engineering structure subject to random vibrations. The unknown parameters represent the oscillator’s stiffness and damping coefficients. The simulation results indicate that, as the variance of the observation error vanishes, the proposed approach remains reasonably close to the output of the EM algorithm, with the advantage of a significant reduction in computing time.

Suggested Citation

  • Nilton O. B. Ávido & Paula Milheiro-Oliveira, 2025. "Parameter Estimation of a Partially Observed Hypoelliptic Stochastic Linear System," Mathematics, MDPI, vol. 13(3), pages 1-17, February.
    • Handle: RePEc:gam:jmathe:v:13:y:2025:i:3:p:529-:d:1584290
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    References listed on IDEAS

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