A note on asymptotically efficient estimates of parameters in continuous-time dynamical systems

Arunabha Bagchi

doi:10.1137/0319013

A note on asymptotically efficient estimates of parameters in continuous-time dynamical systems

Arunabha Bagchi

Research output: Contribution to journal › Article › Academic

Abstract

Maximum likelihood estimation of parameters in continuous-time stochastic linear dynamical systems has recently been shown to be consistent under certain sufficient conditions. The purpose of this note is to prove that these estimates are asymptotically efficient.

Original language	English
Pages (from-to)	169-176
Journal	SIAM journal on control and optimization
Volume	19
Issue number	2
DOIs	https://doi.org/10.1137/0319013
Publication status	Published - 1981

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title = "A note on asymptotically efficient estimates of parameters in continuous-time dynamical systems",

abstract = "Maximum likelihood estimation of parameters in continuous-time stochastic linear dynamical systems has recently been shown to be consistent under certain sufficient conditions. The purpose of this note is to prove that these estimates are asymptotically efficient.",

author = "Arunabha Bagchi",

year = "1981",

doi = "10.1137/0319013",

language = "English",

volume = "19",

pages = "169--176",

journal = "SIAM journal on control and optimization",

issn = "0363-0129",

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T1 - A note on asymptotically efficient estimates of parameters in continuous-time dynamical systems

AU - Bagchi, Arunabha

PY - 1981

Y1 - 1981

N2 - Maximum likelihood estimation of parameters in continuous-time stochastic linear dynamical systems has recently been shown to be consistent under certain sufficient conditions. The purpose of this note is to prove that these estimates are asymptotically efficient.

AB - Maximum likelihood estimation of parameters in continuous-time stochastic linear dynamical systems has recently been shown to be consistent under certain sufficient conditions. The purpose of this note is to prove that these estimates are asymptotically efficient.

U2 - 10.1137/0319013

DO - 10.1137/0319013

M3 - Article

SN - 0363-0129

VL - 19

SP - 169

EP - 176

JO - SIAM journal on control and optimization

JF - SIAM journal on control and optimization

IS - 2

ER -

A note on asymptotically efficient estimates of parameters in continuous-time dynamical systems

Abstract

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