On cusp location estimation for perturbed dynamical systems
被引:2
作者:
Kutoyants, Yury A.
论文数: 0引用数: 0
h-index: 0
机构:
Univ Le Mans, Ave Olivier Messiaen, F-72085 Le Mans, France
Natl Res Univ, Moscow Power Engn Inst, Moscow, Russia
Tomsk State Univ, Tomsk, RussiaUniv Le Mans, Ave Olivier Messiaen, F-72085 Le Mans, France
Kutoyants, Yury A.
[1
,2
,3
]
机构:
[1] Univ Le Mans, Ave Olivier Messiaen, F-72085 Le Mans, France
[2] Natl Res Univ, Moscow Power Engn Inst, Moscow, Russia
cusp;
dynamical system;
parameter estimation;
small noise;
PITMAN ESTIMATORS;
D O I:
10.1111/sjos.12391
中图分类号:
O21 [概率论与数理统计];
C8 [统计学];
学科分类号:
020208 ;
070103 ;
0714 ;
摘要:
We consider the problem of parameter estimation in the case of observation of the trajectory of the diffusion process. We suppose that the drift coefficient has a singularity of cusp type and that the unknown parameter corresponds to the position of the point of the cusp. The asymptotic properties of the maximum likelihood estimator and Bayesian estimators are described in the asymptotic of small noise, that is, as the diffusion coefficient tends to zero. The consistency, limit distributions, and the convergence of moments of these estimators are established.
机构:
Le Mans Univ, Le Mans, France
Natl Res Univ MPEI, Moscow, Russia
Tomsk State Univ, Int Lab Stat Stochast Proc & Quantitat Finance, Tomsk, RussiaMacquarie Univ, Sydney, NSW 2109, Australia
Kutoyants, Yury A.
Novikov, Alexander A.
论文数: 0引用数: 0
h-index: 0
机构:
Univ Technol Sydney, Sydney, NSW 2007, Australia
Steklov Inst Math, Moscow, RussiaMacquarie Univ, Sydney, NSW 2109, Australia
机构:
Le Mans Univ, Le Mans, France
Natl Res Univ MPEI, Moscow, Russia
Tomsk State Univ, Int Lab Stat Stochast Proc & Quantitat Finance, Tomsk, RussiaMacquarie Univ, Sydney, NSW 2109, Australia
Kutoyants, Yury A.
Novikov, Alexander A.
论文数: 0引用数: 0
h-index: 0
机构:
Univ Technol Sydney, Sydney, NSW 2007, Australia
Steklov Inst Math, Moscow, RussiaMacquarie Univ, Sydney, NSW 2109, Australia