Adaptative design for estimation of parameter of second order differential equation in fractional diffusion system

Chunhao Cai and Wujun Lv

Physica A: Statistical Mechanics and its Applications, 2020, vol. 541, issue C

Abstract: We consider a controlled second order differential equation which is partially observed with an additional fractional noise. We study the asymptotic (for large observation time) design problem of the input and give an efficient estimator of the unknown signal drift parameter. When the input depends on the unknown parameter, we will try the one-step estimation procedure using the Newton–Raphson method.

Keywords: Ibragimov–Khaminskii program; One-step estimation; Experiment design; MLE (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:541:y:2020:i:c:s0378437119319752

DOI: 10.1016/j.physa.2019.123544

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