Search Results - subject:"fast and slow components"

On estimating a dynamic function of a stochastic system with averaging

Liptser, R.; Spokoiny, Vladimir G. - 1998

We consider a two-scaled diffusion system, when drift and diffusion parameters of the 'slow' component are contaminated by the ' fast' unobserved component. The goal is to estimate the dynamic function which is defined by averaging the drift coefficient of the 'slow' component w.r.t. the...

Persistent link: https://www.econbiz.de/10010309898

On estimating a dynamic function of a stochastic system with averaging

Liptser, R.; Spokoiny, Vladimir G. - Sonderforschungsbereich 373, Quantifikation und … - 1998

Persistent link: https://www.econbiz.de/10010956607

On Estimating a Dynamic Function of a Stochastic System with Averaging

Liptser, R.; Spokoiny, V. - In: Statistical Inference for Stochastic Processes 3 (2000) 3, pp. 225-249

Persistent link: https://www.econbiz.de/10005391507