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Consistent parameter estimation for partially observed diffusions with small noise

Mattew R. James 1 François Le Gland 2
2 MEFISTO
CRISAM - Inria Sophia Antipolis - Méditerranée
Abstract : In this paper we provide a consistency result for the MLE for partially observed diffusion processes with small noise intensities. We prove that if the underlying deterministic system enjoys an identifiability property, then any MLE is close to the true parameter if the noise intensities are small enough. The proof uses large deviations limits obtained by PDE vanishing viscosity methods. A deterministic method of parameter estimation is formulated. We also specialize our results to a binary detection problem, and compare deterministic and stochastic notions of identifiability.
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https://hal.inria.fr/inria-00075335
Contributor : Rapport de Recherche Inria <>
Submitted on : Wednesday, May 24, 2006 - 5:59:48 PM
Last modification on : Saturday, January 27, 2018 - 1:31:23 AM
Long-term archiving on: : Tuesday, April 12, 2011 - 10:38:20 PM

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  • HAL Id : inria-00075335, version 1

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Mattew R. James, François Le Gland. Consistent parameter estimation for partially observed diffusions with small noise. [Research Report] RR-1223, INRIA. 1990. ⟨inria-00075335⟩

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