DocumentCode
2766842
Title
State and parameter estimation from boundary-crossings
Author
Krishnamurthy, Vikram ; LeGland, François
Author_Institution
Dept. of Electr. Eng., Melbourne Univ., Parkville, Vic., Australia
Volume
4
fYear
1998
fDate
16-18 Dec 1998
Firstpage
3954
Abstract
We consider the problem of estimating the state, and identifying parameters of a diffusion process, when the only available information is the crossing times of a boundary. By using a partial differential equation approach related with the computation of boundary-crossing probabilities, we derive finite dimensional reconstructors (filters) for the state and Feynman Kac type functionals of the state. These are then used to compute maximum likelihood parameter estimates of the drift coefficient of the diffusion
Keywords
diffusion; filtering theory; functional equations; maximum likelihood estimation; partial differential equations; probability; state estimation; Feynman Kac type functionals; boundary-crossings; diffusion process; drift coefficient; finite dimensional reconstructors; maximum likelihood parameter estimates; Diffusion processes; Equations; Filtering; Filters; History; Motion estimation; Parameter estimation; State estimation; Statistics; Stochastic processes;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1998. Proceedings of the 37th IEEE Conference on
Conference_Location
Tampa, FL
ISSN
0191-2216
Print_ISBN
0-7803-4394-8
Type
conf
DOI
10.1109/CDC.1998.761849
Filename
761849
Link To Document