14 citations · 40 across the 26 of their papers we have counts for
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math.ST2019★ 4 cited
On Parameter Estimation of the Hidden Gaussian Process in perturbed SDE
Yury A. Kutoyants, Li Zhou
We present results on parameter estimation and non-parameter estimation of the linear partially observed Gaussian system of stochastic differential equations. We propose new one-st…
math.ST2019
On Parameter Estimation of Hidden Ergodic Ornstein-Uhlenbeck Process
Yury A. Kutoyants
We consider the problem of parameter estimation for the partially observed linear stochastic differential equation. We assume that the unobserved Ornstein-Uhlenbeck process depends…