On cusp estimation of ergodic diffusion process

The properties of the maximum-likelihood (MLE) and Bayesian (BE) estimators of the parameter of ergodic diffusion process are studied in the situation when the trend coefficient has a cusp, i.e., it admits the representation S( ϑ, x)= d( x− ϑ)| x− ϑ| p + h( x− ϑ), where p∈(0, 1 2 ) , d( x)= a for x0...

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Veröffentlicht in:	Journal of statistical planning and inference 2003-11, Vol.117 (1), p.153-166
Hauptverfasser:	Dachian, Sergueı&#x0308, Kutoyants, Yury A.
Format:	Artikel
Sprache:	eng
Schlagworte:	Bayesian estimator Cusp estimation Ergodic diffusion process Exact sciences and technology Inference from stochastic processes time series analysis Limit distribution Mathematics Maximum-likelihood estimator Probability and statistics Sciences and techniques of general use Singular estimation problem Statistics Statistics Theory
Online-Zugang:	Volltext
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