On cusp location estimation for perturbed dynamical systems

DOI10.1111/SJOS.12391MaRDI QIDQ3299031zbMATH OpenOpenAlexFDO

Authors Yu. A. Kutoyants

Publication date 17 July 2020

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1806.06383

zbMATH Keywords

cuspdynamical systemparameter estimationsmall noise

Mathematics Subject Classification ID

Dynamical systems and their relations with probability theory and stochastic processes (37A50) Diffusion processes (60J60) Point estimation (62F10)

Abstract: We consider the problem of parameter estimation in the case of observation of the trajectory of diffusion process. We suppose that the drift coefficient has a singularity of cusp-type and 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 asymptotics of {it small noise}, i.e., as the diffusion coefficient tends to zero. The consistency, limit distributions and the convergence of moments of these estimators are established.

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• Estimation of cusp location by Poisson observations
• Poisson source localization on the plane: cusp case
• On some singularities in parameter estimation problems
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• On misspecification in cusp-type change-point models
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