Regensburg 2004 – wissenschaftliches Programm

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DY: Dynamik und Statistische Physik

DY 46: Poster

DY 46.13: Poster

Donnerstag, 11. März 2004, 16:00–18:00, Poster D

Parameters estimation of hidden diffusion processes — •Abdelhadi Benabdallah and Günter Radons — TU Chemnitz, Institut für Physik , D-09107 Chemnitz, Germany

Diffusion processes, continuous in time and space, often cannot be observed directly but only via functions reflecting the measurement process. Within this work 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 EM (Expectation-Maximisation) algorithm we estimate the drift and the diffusion parameters which characterise the diffusing state variable via an approximation by a discrete random walk.A comparison with the particle filter are made. Numerical results confirm our analytical estimation.