Maximum likelihood estimation for the reflected stochastic linear system with a large signal

被引：1

作者：

Zhang, Xuekang ^{[1
,2
]}

Shu, Huisheng ^{[3
]}

机构：

[1] Anhui Polytech Univ, Sch Math Phys & Finance, Wuhu 241000, Peoples R China

[2] Anhui Polytech Univ, Key Lab Adv Percept & Intelligent Control High end, Minist Educ, Wuhu 241000, Peoples R China

[3] Donghua Univ, Coll Sci, Shanghai 201620, Peoples R China

来源：

BRAZILIAN JOURNAL OF PROBABILITY AND STATISTICS | 2023年 / 37卷 / 02期

基金：

中国国家自然科学基金;

关键词：

Maximum likelihood estimation; reflected stochastic linear system; large signal; law of iterated logarithm; consistency; asymptotic distributions; ORNSTEIN-UHLENBECK PROCESS; PARAMETER-ESTIMATION; ASYMPTOTIC-BEHAVIOR;

D O I：

10.1214/23-BJPS571

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper deals with maximum likelihood estimation for the drift of the reflected stochastic linear system with a large signal. The law of iter-ated logarithm, consistency, and the asymptotic distributions of the maximum likelihood estimators in both the stationary and the non-stationary cases are studied based on the continuous observation.

引用

页码：351 / 364

页数：14

共 50 条

[31] Maximum Likelihood and Signal-Selective TDOA Estimation for Noncircular Signals
Wen, Fei
Wan, Qun
JOURNAL OF COMMUNICATIONS AND NETWORKS, 2013, 15 (03) : 245 - 251
[32] Maximum likelihood signal estimation in phase contrast magnitude MR images
den Dekker, AJ
Sijbers, J
Verhoye, M
Van Dyck, D
MEDICAL IMAGING 1998: IMAGE PROCESSING, PTS 1 AND 2, 1998, 3338 : 408 - 415
[33] MAXIMUM-LIKELIHOOD-ESTIMATION OF SIMULTANEOUS PAIRWISE LINEAR STRUCTURAL RELATIONSHIPS
BOLFARINE, H
ROJAS, MG
BIOMETRICAL JOURNAL, 1995, 37 (06) : 673 - 689
[34] Asymptotic Properties of the Maximum Likelihood Estimate in Generalized Linear Models with Stochastic Regressors
Jie Li DING School of Mathematics and Statistics
ActaMathematicaSinica(EnglishSeries), 2006, 22 (06) : 1679 - 1686
[35] Asymptotic Properties of the Maximum Likelihood Estimate in Generalized Linear Models with Stochastic Regressors
Jie Li Ding
Xi Ru Chen
Acta Mathematica Sinica, 2006, 22 : 1679 - 1686
[36] Stochastic unit root processes: Maximum likelihood estimation, and new Lagrange multiplier and likelihood ratio tests
Yoon, Gawon
ECONOMIC MODELLING, 2016, 52 : 725 - 732
[37] Regularized maximum likelihood estimation of sparse stochastic monomolecular biochemical reaction networks
Jang, Hong
Kim, Kwang-Ki K.
Braatz, Richard D.
Gopaluni, R. Bhushan
Lee, Jay H.
COMPUTERS & CHEMICAL ENGINEERING, 2016, 90 : 111 - 120
[38] MAXIMUM LIKELIHOOD ESTIMATION OF A LINEAR STRUCTURAL RELATIONSHIP WHEN THE INTERCEPT IS KNOWN
CHAN, LK
MAK, TK
JOURNAL OF MULTIVARIATE ANALYSIS, 1979, 9 (02) : 304 - 313
[39] ON THE APPROXIMATE MAXIMUM LIKELIHOOD ESTIMATION FOR DIFFUSION PROCESSES
Chang, Jinyuan
Chen, Song Xi
ANNALS OF STATISTICS, 2011, 39 (06) : 2820 - 2851
[40] Maximum Likelihood Estimation in Single Server Queues
Saroja Kumar Singh
Sankhya A, 2023, 85 : 931 - 947

← 1 2 3 4 5 →