8 citations · 10 across the 13 of their papers we have counts for
4 papers · 1 filter
Approximate continuous-discrete filters for the estimation of diffusion processes from partial and noisy observations
J. C. Jimenez
In this paper, an alternative approximation to the innovation method is introduced for the parameter estimation of diffusion processes from partial and noisy observations. This is…
Approximate discrete-time schemes for the estimation of diffusion processes from complete observations
J. C. Jimenez
In this paper, a modification of the conventional approximations to the quasi-maximum likelihood method is introduced for the parameter estimation of diffusion processes from discr…
Approximate linear minimum variance filters for continuous-discrete state space models: convergence and practical algorithms
Juan Carlos Jimenez
In this paper, approximate Linear Minimum Variance (LMV) filters for continuous-discrete state space models are introduced. The filters are obtained by means of a recursive approxi…
Simplified formulas for the mean and variance of linear stochastic differential equations
Juan Carlos Jimenez
Explicit formulas for the mean and variance of linear stochastic differential equations are derived in terms of an exponential matrix. This result improved a previous one by means…