Parameter estimation for kalman-bucy filter with small noise
Yury A. Kutoyants, Holger Pohlmann · Statistics · 1994
The asymptotic behavior of the MLE of a parameter of partially observed linear system is studied. Using asymptotic expansion of this estimate by the powers of diffusion coefficient the consistency and asymptotic normality of MLE are proved. The time of observation is supposed to be fixed and the asymptotics corresponds to small noises in observed and nonobserved equations.