ProcessEstimator

ProcessEstimator

is an option to EstimatedProcess and FindProcessParameters that specifies what process parameter estimator to use.

Details and Options

  • The following basic settings can be used:
  • Automaticautomatically choose the estimator to use
    "MaximumLikelihood"maximize the loglikelihood function
  • The maximum likelihood method will maximize the log-likelihood function , where is the process parameters and is the PDF for the joint SliceDistribution of the ^(th) path.
  • ProcessEstimator->{"estimator",Method->"solver"} specifies what underlying optimization solver to use.
  • Possible solver settings for "MaximumLikelihood" include:
  • Automaticautomatically chosen solver
    "FindMaximum"use FindMaximum to maximize log-likelihood
    "NMaximize"use NMaximize to maximize log-likelihood
  • With the setting ProcessEstimator->{"estimator",Method->{"solver",opts}}, additional options can be given for the solver.
  • Solver methods such as NMaximize that do not rely on starting values will not make use of starting values given to EstimatedProcess or FindProcessParameters.
  • Special settings for ProcessEstimator are documented under the individual random process reference pages.

Examples

Basic Examples  (1)

Construct a process model from data using automatic methods:

Use maximum likelihood estimates:

Compare the first-order probability density functions at :

Wolfram Research (2012), ProcessEstimator, Wolfram Language function, https://reference.wolfram.com/language/ref/ProcessEstimator.html.

Text

Wolfram Research (2012), ProcessEstimator, Wolfram Language function, https://reference.wolfram.com/language/ref/ProcessEstimator.html.

CMS

Wolfram Language. 2012. "ProcessEstimator." Wolfram Language & System Documentation Center. Wolfram Research. https://reference.wolfram.com/language/ref/ProcessEstimator.html.

APA

Wolfram Language. (2012). ProcessEstimator. Wolfram Language & System Documentation Center. Retrieved from https://reference.wolfram.com/language/ref/ProcessEstimator.html

BibTeX

@misc{reference.wolfram_2021_processestimator, author="Wolfram Research", title="{ProcessEstimator}", year="2012", howpublished="\url{https://reference.wolfram.com/language/ref/ProcessEstimator.html}", note=[Accessed: 21-January-2022 ]}

BibLaTeX

@online{reference.wolfram_2021_processestimator, organization={Wolfram Research}, title={ProcessEstimator}, year={2012}, url={https://reference.wolfram.com/language/ref/ProcessEstimator.html}, note=[Accessed: 21-January-2022 ]}