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| Chair for Complex Systems and Nonlinear Dynamics |  | |
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| TU Chemnitz > Faculty Natural Sience > CSND | ||
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CSND |
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Prof. Dr. Radons |
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Analysis of hidden diffusion processes |
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Funded until 2004 within the
interdisciplinary DFG Priority Program 1114 "Mathematical Methods for Time Series Analysis and Digital Image Processing"
http://www.math.uni-bremen.de/zetem/DFG-Schwerpunkt/ |
| Project Leader: Prof. Dr. Günter Radons |
| Contact: Dr. Abdelhadi Benabdallah |
| Diffusion processes, continuous in time and space, often cannot be observed directly but only via functions reflecting the measurement process. We investigate the parameter estimation problem for hidden diffusion processes in a periodic potential. We propose a discrete model as an approximation of continuous partially observed diffusion processes. Using the Baum-Welch algorithm we estimate the drift and the diffusion parameters which characterize the diffusing state variable via an approximation by a discrete random walk. Numerical results confirm our analytical estimation. |
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More details can be found in the german version of this site. |
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| Sven Schubert 01. Juli 2005 |
Technische Universität Chemnitz, Straße der Nationen 62, 09107 Chemnitz Impressum - Copyright © 2004 by TU Chemnitz, alle Rechte vorbehalten. |
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