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- W3105105540 abstract "We consider the asymptotic consistency of maximum likelihood parameter estimation for dynamical systems observed with noise. Under suitable conditions on the dynamical systems and the observations, we show that maximum likelihood parameter estimation is consistent. Our proof involves ideas from both information theory and dynamical systems. Furthermore, we show how some well-studied properties of dynamical systems imply the general statistical properties related to maximum likelihood estimation. Finally, we exhibit classical families of dynamical systems for which maximum likelihood estimation is consistent. Examples include shifts of finite type with Gibbs measures and Axiom A attractors with SRB measures." @default.
- W3105105540 created "2020-11-23" @default.
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- W3105105540 date "2015-02-01" @default.
- W3105105540 modified "2023-10-14" @default.
- W3105105540 title "Consistency of maximum likelihood estimation for some dynamical systems" @default.
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- W3105105540 doi "https://doi.org/10.1214/14-aos1259" @default.
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