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Maximum likelihood estimator for hidden Markov models in continuous time

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  • Pavel Chigansky

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  • Pavel Chigansky, 2009. "Maximum likelihood estimator for hidden Markov models in continuous time," Statistical Inference for Stochastic Processes, Springer, vol. 12(2), pages 139-163, June.
    • Handle: RePEc:spr:sistpr:v:12:y:2009:i:2:p:139-163
    DOI: 10.1007/s11203-008-9025-4
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    References listed on IDEAS

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    1. Levanony, David & Shwartz, Adam & Zeitouni, Ofer, 1994. "Recursive identification in continuous-time stochastic processes," Stochastic Processes and their Applications, Elsevier, vol. 49(2), pages 245-275, February.
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    Cited by:

    1. Yury A. Kutoyants, 2021. "On localization of source by hidden Gaussian processes with small noise," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(4), pages 671-702, August.
    2. Kutoyants, Yury A., 2019. "On parameter estimation of the hidden Ornstein–Uhlenbeck process," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 248-263.
    3. Kutoyants, Yury A., 2024. "Volatility estimation of hidden Markov processes and adaptive filtration," Stochastic Processes and their Applications, Elsevier, vol. 173(C).

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