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Convergence of Simar’s algorithm for finding the maximum likelihood estimate of a compound Poisson process. (English) Zbl 0523.62074


MSC:

62M05 Markov processes: estimation; hidden Markov models
62M99 Inference from stochastic processes
62G05 Nonparametric estimation
65C99 Probabilistic methods, stochastic differential equations

Citations:

Zbl 0362.62095
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