On Estimating a Dynamic Function of Stochastic System with Averaging

  • V. Weierstrass
  • Published 1997

Abstract

We consider a two-scaled diiusion system, when drift and diiusion parameters of a \slow" component are contaminated by an unobservable \ fast" one. The goal is to estimate the dynamic function which is deened by averaging the drift coeecient of the \slow" component w.r.t. the stationary distribution of the \fast" one. For estimation we use a locally linear… (More)

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Cite this paper

@inproceedings{Weierstrass1997OnEA, title={On Estimating a Dynamic Function of Stochastic System with Averaging}, author={V. Weierstrass}, year={1997} }