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Likelihood based statistics for partially observed diffusion processes

Fabien Campillo 1 François Le Gland 1
1 MEFISTO
CRISAM - Inria Sophia Antipolis - Méditerranée
Abstract : The purpose of this paper is to study some statistical problems: parameter estimation, binary detection, change detection (disorder problem), etc. for partially observed diffusion processes, using the likelihood approach. It is shown that the stochastic PDE related to the state estimation problem, provides also a way to compute the likelihood function/ratio. A recent result on consistency of the MLE, in the small noise asymptotics, is also presented.
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https://hal.inria.fr/hal-00912043
Contributor : Francois Le Gland <>
Submitted on : Thursday, December 19, 2013 - 5:57:36 PM
Last modification on : Saturday, January 27, 2018 - 1:30:53 AM

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Fabien Campillo, François Le Gland. Likelihood based statistics for partially observed diffusion processes. Proceedings of the 1st European Control Conference, Grenoble 1991, Jul 1991, Grenoble, France. pp.2290--2295. ⟨hal-00912043⟩

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