Abstract
The parameter estimation problem of a partly observed nonlinear discrete-time stochastic system is considered. The unobserved component of the system is a q-dimensional stable autoregressive process of the pth order with random parameters, observed in the presence of multiplicative and additive noises. The distributions of all the noises of the system are supposed to be unknown. The problem is to estimate the mean of the drifting parameters of the object and variances of the additive noises of the system. Asymptotic correlation estimators of all these parameters are investigated and sequential estimators with given mean square accuracy of the mean of the drifting autoregressive parameters are obtained.
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Malyarenko, A., Vasiliev, V. On parameter estimation of partly observed bilinear discrete-time stochastic systems. Metrika 75, 403–424 (2012). https://doi.org/10.1007/s00184-010-0333-5
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DOI: https://doi.org/10.1007/s00184-010-0333-5