Martingale Approach to Identification of Stochastic Systems

Yashin, Y. (1985). Martingale Approach to Identification of Stochastic Systems. In: Identification and System Parameter Estimation. pp. 1755-1760 York: IFAC. ISBN 0080325424

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Abstract

The paper deals with the convergence property of Bayesian estimators. The necessary and sufficient conditions for convergence are given in terms of singularity and absolute continuity properties for some family of probability measures. These conditions are specified for a wide class of stochastic processes called semimartingales. The approach can be applied to both continuous time and discrete time stochastic processes. Examples illustrating the theory are given.

Item Type:	Book Section
Depositing User:	Luke Kirwan
Date Deposited:	11 Aug 2016 07:41
Last Modified:	27 Aug 2021 17:41
URI:	https://pure.iiasa.ac.at/13668

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