Title :
State and parameter estimation from boundary-crossings
Author :
Krishnamurthy, Vikram ; LeGland, François
Author_Institution :
Dept. of Electr. Eng., Melbourne Univ., Parkville, Vic., Australia
Abstract :
We consider the problem of estimating the state, and identifying parameters of a diffusion process, when the only available information is the crossing times of a boundary. By using a partial differential equation approach related with the computation of boundary-crossing probabilities, we derive finite dimensional reconstructors (filters) for the state and Feynman Kac type functionals of the state. These are then used to compute maximum likelihood parameter estimates of the drift coefficient of the diffusion
Keywords :
diffusion; filtering theory; functional equations; maximum likelihood estimation; partial differential equations; probability; state estimation; Feynman Kac type functionals; boundary-crossings; diffusion process; drift coefficient; finite dimensional reconstructors; maximum likelihood parameter estimates; Diffusion processes; Equations; Filtering; Filters; History; Motion estimation; Parameter estimation; State estimation; Statistics; Stochastic processes;
Conference_Titel :
Decision and Control, 1998. Proceedings of the 37th IEEE Conference on
Conference_Location :
Tampa, FL
Print_ISBN :
0-7803-4394-8
DOI :
10.1109/CDC.1998.761849
