On Parameter Estimation of the Hidden Gaussian Process in perturbed SDE
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We present results on parameter estimation and non-parameter estimation of the linear partially observed Gaussian system of stochastic differential equations. We propose new one-step estimators which have the same asymptotic properties as the MLE, but much more simple to calculate, the estimators are so-called "estimator-processes". The construction of the estimators is based on the equations of Kalman-Bucy filtration and the asymptotic corresponds to the small noises in the observations and state (hidden process) equations. We propose conditions which provide the consistency and asymptotic normality and asymptotic efficiency of the estimators.
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