On parameter estimation for hidden Markov processes

Jeudi 22 novembre 2018, 10:15 à 11:15

Salle de séminaires M.0.1

Yury Kutoyants

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.