Sequential Identification of Linear Dynamic Systems with Memory
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DOI: 10.1023/B:SISP.0000049119.79817.ee
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- Gushchin, Alexander A. & Küchler, Uwe, 2000.
"On stationary solutions of delay differential equations driven by a Lévy process,"
Stochastic Processes and their Applications, Elsevier, vol. 88(2), pages 195-211, August.
- Gushchin, Alexander A. & Küchler, Uwe, 1998. "On stationary solutions of delay differential equations driven by a Lévy process," SFB 373 Discussion Papers 1998,98, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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Keywords
stochastic differential equations with memory; time delay; maximum likelihood estimator; sequential analysis; guaranteed accuracy;All these keywords.
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