On cusp estimation of ergodic diffusion process
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Publication:1410582
DOI10.1016/S0378-3758(02)00365-8zbMath1022.62072OpenAlexW2122821592MaRDI QIDQ1410582
Sergueï Dachian, Yury A. Kutoyants
Publication date: 14 October 2003
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0378-3758(02)00365-8
maximum-likelihood estimatorlimit distributionergodic diffusion processesBayesian estimatorcusp estimationsingular estimation problem
Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)
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On limit distributions of estimators in irregular statistical models and a new representation of fractional Brownian motion ⋮ Estimation of cusp location of stochastic processes: a survey ⋮ On estimation errors in optical communication and location ⋮ On asymptotic distribution of parameter free tests for ergodic diffusion processes ⋮ On misspecifications in regularity and properties of estimators ⋮ On parameter estimation for cusp-type signals ⋮ On estimation of delay location ⋮ Estimation of cusp in nonregular nonlinear regression models. ⋮ An extension of cusp estimation problem in ergodic diffusion processes ⋮ The precise asymptotic behavior of parameter estimators in Ornstein-Uhlenbeck process ⋮ Poisson source localization on the plane: cusp case ⋮ On hypothesis testing for Poisson processes: Regular case ⋮ On parameter estimation for switching diffusion process
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