scholarly journals Parameter estimation for Vasicek model driven by a general Gaussian noise

Author(s):  
Yong Chen ◽  
Ying Li ◽  
Xingzhi Pei
2018 ◽  
Vol 14 (2) ◽  
pp. 8013-8024
Author(s):  
Qingbo Wang ◽  
Xiuwei Yin

In this paper, we consider parameter estimation problem for Vasicek model driven by fractional lévy processes defined We construct least squares estimator for drift parameters based on time?continuous observations, the consistency and asymptotic distribution of these estimators are studied in the non?ergodic case. In contrast to the fractional Vasicek model, it can be regarded as a Lévy generalization of fractional Vasicek model.


2014 ◽  
Vol 644-650 ◽  
pp. 4035-4039
Author(s):  
Hao Su Zhou ◽  
Jian Xin Wang

A new data-aided algorithm for parameter estimation of the co-channel AIS signal transmitted over the additive white Gaussian noise channel is proposed in this paper. The co-channel signal consists of a strong signal with high power and a weak signal with low power. The parameters of the strong signal are estimated by searching the ambiguity function of the co-channel signal in two dimensions. A reference signal is therefore reconstructed with the estimated parameters and the aided data. By removing the ambiguity function of the reconstructed reference signal from that of the original co-channel signal, a new co-channel signal ambiguity function is obtained, from which the parameters of the weak signal are estimated. The simulation results illustrate that the proposed algorithm can estimate the parameters of the co-channel AIS signal effectively.


2003 ◽  
Vol 36 (10) ◽  
pp. 2317-2332 ◽  
Author(s):  
G.R. Dattatreya ◽  
Xiaori (Frank) Fang

2019 ◽  
Vol 68 (10) ◽  
pp. 10283-10288
Author(s):  
Junlin Zhang ◽  
Nan Zhao ◽  
Mingqian Liu ◽  
Yunfei Chen ◽  
Hao Song ◽  
...  

2020 ◽  
Author(s):  
Yvonne Ruckstuhl ◽  
Tijana Janjic

<p>We investigate the feasibility of addressing model error by perturbing and  estimating uncertain static model parameters using the localized ensemble transform Kalman filter. In particular we use the augmented state approach, where parameters are updated by observations via their correlation with observed state variables. This online approach offers a flexible, yet consistent way to better fit model variables affected by the chosen parameters to observations, while ensuring feasible model states. We show in a nearly-operational convection-permitting configuration that the prediction of clouds and precipitation with the COSMO-DE model is improved if the two dimensional roughness length parameter is estimated with the augmented state approach. Here, the targeted model error is the roughness length itself and the surface fluxes, which influence the initiation of convection. At analysis time, Gaussian noise with a specified correlation matrix is added to the roughness length to regulate the parameter spread. In the northern part of the COSMO-DE domain, where the terrain is mostly flat and assimilated surface wind measurements are dense, estimating the roughness length led to improved forecasts of up to six hours of clouds and precipitation. In the southern part of the domain, the parameter estimation was detrimental unless the correlation length scale of the Gaussian noise that is added to the roughness length is increased. The impact of the parameter estimation was found to be larger when synoptic forcing is weak and the model output is more sensitive to the roughness length.</p>


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