State and parameter estimation from boundary-crossings
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 fi...
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| creator | Krishnamurthy, V. LeGland, F. |
| description | 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. |
| doi_str_mv | 10.1109/CDC.1998.761849 |
| format | Conference Proceeding |
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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.</description><identifier>ISSN: 0191-2216</identifier><identifier>ISBN: 9780780343948</identifier><identifier>ISBN: 0780343948</identifier><identifier>DOI: 10.1109/CDC.1998.761849</identifier><language>eng</language><publisher>IEEE</publisher><subject>Diffusion processes ; Equations ; Filtering ; Filters ; History ; Motion estimation ; Parameter estimation ; State estimation ; Statistics ; Stochastic processes</subject><ispartof>Proceedings of the 37th IEEE Conference on Decision and Control (Cat. 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These are then used to compute maximum likelihood parameter estimates of the drift coefficient of the diffusion.</description><subject>Diffusion processes</subject><subject>Equations</subject><subject>Filtering</subject><subject>Filters</subject><subject>History</subject><subject>Motion estimation</subject><subject>Parameter estimation</subject><subject>State estimation</subject><subject>Statistics</subject><subject>Stochastic processes</subject><issn>0191-2216</issn><isbn>9780780343948</isbn><isbn>0780343948</isbn><fulltext>true</fulltext><rsrctype>conference_proceeding</rsrctype><creationdate>1998</creationdate><recordtype>conference_proceeding</recordtype><sourceid>6IE</sourceid><sourceid>RIE</sourceid><recordid>eNotj0tLw0AURgdUsNauBVf5A4l3HrkzdynxCQUXtusySe5IxCRlZlz03xuo8MHZHc4nxJ2ESkqgh-apqSSRqyxKZ-hCbMg6WKaNJuMuxQokyVIpidfiJqVvAHCAuBL4mX3mwk99cfTRj5w5FpzyMPo8zFMR4jwW7fw79T6eyi7OKQ3TV7oVV8H_JN78cy32L8-75q3cfry-N4_bcpBW5dL0wbWItbYqaBuQkKlfEmUHTlNAy4Y1qeA7wGDItKb3gQFqj8pBTXot7s_egZkPx7hkxdPh_FL_AQYsRUY</recordid><startdate>1998</startdate><enddate>1998</enddate><creator>Krishnamurthy, V.</creator><creator>LeGland, F.</creator><general>IEEE</general><scope>6IE</scope><scope>6IH</scope><scope>CBEJK</scope><scope>RIE</scope><scope>RIO</scope></search><sort><creationdate>1998</creationdate><title>State and parameter estimation from boundary-crossings</title><author>Krishnamurthy, V. ; LeGland, F.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-i172t-4df8b665372f37f696e9d6181c0839f67e4e392fac06f494b4dafe005a6280593</frbrgroupid><rsrctype>conference_proceedings</rsrctype><prefilter>conference_proceedings</prefilter><language>eng</language><creationdate>1998</creationdate><topic>Diffusion processes</topic><topic>Equations</topic><topic>Filtering</topic><topic>Filters</topic><topic>History</topic><topic>Motion estimation</topic><topic>Parameter estimation</topic><topic>State estimation</topic><topic>Statistics</topic><topic>Stochastic processes</topic><toplevel>online_resources</toplevel><creatorcontrib>Krishnamurthy, V.</creatorcontrib><creatorcontrib>LeGland, F.</creatorcontrib><collection>IEEE Electronic Library (IEL) Conference Proceedings</collection><collection>IEEE Proceedings Order Plan (POP) 1998-present by volume</collection><collection>IEEE Xplore All Conference Proceedings</collection><collection>IEEE Electronic Library (IEL)</collection><collection>IEEE Proceedings Order Plans (POP) 1998-present</collection></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext_linktorsrc</fulltext></delivery><addata><au>Krishnamurthy, V.</au><au>LeGland, F.</au><format>book</format><genre>proceeding</genre><ristype>CONF</ristype><atitle>State and parameter estimation from boundary-crossings</atitle><btitle>Proceedings of the 37th IEEE Conference on Decision and Control (Cat. No.98CH36171)</btitle><stitle>CDC</stitle><date>1998</date><risdate>1998</risdate><volume>4</volume><spage>3954</spage><epage>3959 vol.4</epage><pages>3954-3959 vol.4</pages><issn>0191-2216</issn><isbn>9780780343948</isbn><isbn>0780343948</isbn><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.</abstract><pub>IEEE</pub><doi>10.1109/CDC.1998.761849</doi></addata></record> |
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| identifier | ISSN: 0191-2216 |
| ispartof | Proceedings of the 37th IEEE Conference on Decision and Control (Cat. No.98CH36171), 1998, Vol.4, p.3954-3959 vol.4 |
| issn | 0191-2216 |
| language | eng |
| recordid | cdi_ieee_primary_761849 |
| source | IEEE Electronic Library (IEL) Conference Proceedings |
| subjects | Diffusion processes Equations Filtering Filters History Motion estimation Parameter estimation State estimation Statistics Stochastic processes |
| title | State and parameter estimation from boundary-crossings |
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