On parameter estimation for cusp-type signals
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Abstract: We consider the problem of parameter estimation by the observations of deterministic signal in white gaussian noise. It is supposed that the signal has a singularity of cusp-type. The properties of the maximum likelihood and bayesian estimators are described in the asymptotics of small noise. Special attention is paid to the problem of parameter estimation in the situation of misspecification in regularity, i.e.; the statistician supposes that the observed signal has this singularity, but the real signal is smooth. The rate and the asymptotic distribution of the maximum likelihood estimator in this situation are described.
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Cites work
- scientific article; zbMATH DE number 3522925 (Why is no real title available?)
- scientific article; zbMATH DE number 3576395 (Why is no real title available?)
- scientific article; zbMATH DE number 782641 (Why is no real title available?)
- An extension of cusp estimation problem in ergodic diffusion processes
- Asymmetric cusp estimation in regression models
- Asymptotic theory of least squares estimator in a nonregular nonlinear regression model
- Estimation of cusp in nonregular nonlinear regression models.
- Estimation of cusp location by Poisson observations
- Estimation of the Location of the Cusp of a Continuous Density
- Minimax estimation of sharp change points
- On cusp estimation of ergodic diffusion process
- On moments of Pitman estimators: the case of fractional Brownian motion
- Smooth change point estimation in regression models with random design
Cited in
(14)- Estimation of cusp location of stochastic processes: a survey
- Poisson source localization on the plane: cusp case
- On limit distributions of estimators in irregular statistical models and a new representation of fractional Brownian motion
- Poisson source localization on the plane: change-point case
- Estimation for misspecification when theoretical model for signal is smooth but real signal is of cusp-type and driven by a fractional Brownian motion
- Estimation of the position and time of emission of a source
- Parametric estimation for cusp-type signal driven by fractional Brownian motion
- The asymptotics of misspecified MLEs for some stochastic processes: a survey
- On estimation errors in optical communication and location
- On cusp location estimation for perturbed dynamical systems
- On some singularities in parameter estimation problems
- On misspecifications in regularity and properties of estimators
- Cusp estimation in random design regression models
- On Cadzow's non-iterative extrapolation of BL signals
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