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math.ST2026
Pathwise Representation of the Smoothing Distribution in Continuous-Time Linear Gaussian Models
Masahiro Kurisaki
We study the filtering and smoothing problem for continuous-time linear Gaussian systems. While classical approaches such as the Kalman-Bucy filter and the Rauch-Tung-Striebel (RTS…
math.ST2022
Parameter estimation for ergodic linear SDEs from partial and discrete observations
Masahiro Kurisaki
We consider a problem of parameter estimation for the state space model described by linear stochastic differential equations. We assume that an unobservable Ornstein-Uhlenbeck pro…