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- W3093317829 abstract "We consider the problem of parameter estimation in a partially observed linear Gaussian system with small noises in the state and observation equations. We describe asymptotic properties of the MLE and Bayes estimators in the setting with state and observation noises of possibly unequal intensities. It is shown that both estimators are consistent, asymptotically normal with convergent moments and asymptotically efficient. This model has an unusual feature: larger noise in the state equation yields smaller estimation error. The proofs are based on asymptotic analysis of the Kalman-Bucy filter and the associated Riccati equation in particular." @default.
- W3093317829 created "2020-10-22" @default.
- W3093317829 creator A5057412962 @default.
- W3093317829 date "2020-10-15" @default.
- W3093317829 modified "2023-09-27" @default.
- W3093317829 title "Hidden Markov Model Where Higher Noise Makes Smaller Errors" @default.
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