Estimation for misspecification when theoretical model for signal is smooth but real signal is of cusp-type and driven by a fractional Brownian motion

DOI10.1080/07362994.2022.2140677MaRDI QIDQ6065384

Mahendra Nath Mishra, B. L. S. Prakasa Rao

Publication date: 11 December 2023

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationmaximum likelihood estimationfractional Brownian motionmisspecified modelcusp-type signal

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09)

Cites Work

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• Asymptotic theory of least squares estimator in a nonregular nonlinear regression model
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• Estimation of cusp in nonregular nonlinear regression models.
• On parameter estimation for cusp-type signals
• Stochastic calculus for fractional Brownian motion and related processes.
• Estimation of change point for switching fractional diffusion processes
• Statistical Inference for Fractional Diffusion Processes
• Parametric estimation for cusp-type signal driven by fractional Brownian motion
• Estimation of the Location of the Cusp of a Continuous Density
• Parameter estimation and optimal filtering for fractional type stochastic systems

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