On parameter estimation for hidden Markov processes
Salle de séminaires M.0.1
Laboratoire Manceau de Mathématiques, Univ. du Maine
We consider two models of Markov processes observed (continuous time) in white Gaussian noise. One is telegraph signal with two states (ergodic case) and the second is partially observed linear system with small noise in observation equation. For both models we construct the MLE and One-step MLEs of the unknown parameters and show the consistency, asymptotic normality, convergence of moments and the asymptotic minimax efficiency of these estimators.