Asymptotic Normality in Partially Observed Diffusions with Small Noise: Application to FDI

Abstract

The problem of residual evaluation for fault detection in partially observed diffusions is investigated, using the local asymptotic approach, under the small noise asymptotics. The score function (i.e. the gradient of the log–likelihood function) evaluated at the nominal value of the parameter, and suitably normalized, is used as residual. It is proved that… (More)

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