Estimation of cusp location of stochastic processes: a survey

DOI10.1007/s11203-018-9171-2zbMath1450.62098arXiv1711.03740MaRDI QIDQ1656849

Y. Aharonov

Publication date: 10 August 2018

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1711.03740

zbMATH Keywords

fractional Brownian motion; diffusion processes; change-point models; inhomogeneous Poisson processes; cusp-type singularity; maximum likelihood and Bayes estimators

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

60G22: Fractional processes, including fractional Brownian motion

62M05: Markov processes: estimation; hidden Markov models

60J60: Diffusion processes

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)