Parameter Estimation of a Partially Observed Hypoelliptic Stochastic Linear System

Parameter Estimation of a Partially Observed Hypoelliptic Stochastic Linear System

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...

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Bibliographic Details
Main Authors: Nilton O. B. Ávido, Paula Milheiro-Oliveira
Format: Article
Language:English
Published: MDPI AG 2025-02-01
Series:Mathematics
Subjects:
EM algorithm
partially observed systems
parameter estimation
stochastic differential equations
hypoelliptic models
harmonic oscillator
Online Access:https://www.mdpi.com/2227-7390/13/3/529
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