On frequency estimation for partially observed processes with small noise in observations

الأصل · EN

We consider the problem of frequency estimation of the periodic signal multiplied by a stationary Gaussian process (Ornstein-Uhlenbeck) and observed in the presence of the white Gaussian noise. We show the consistency and asymptotic normality of the maximum likelihood estimator in the asymptotics of small noise in observations. The model of observations is a linear nonhomogeneous partially observed system and the construction and study of the estimator is essentialy based on the asymptotics of the equations of Kalman-Bucy filtration.