On misspecifications in regularity and properties of estimators

DOI10.1214/17-EJS1385MaRDI QIDQ1689008zbMATH OpenFDO

Authors Oleg V. Chernoyarov, A. P. Trifonov, Yu. A. Kutoyants

Publication date 12 January 2018

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

Full work available at URL https://arxiv.org/abs/1509.02715, https://projecteuclid.org/euclid.ejs/1515747853

zbMATH Keywords

misspecificationmaximum likelihood estimatorregularity conditionschange-point type model

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Markov processes: hypothesis testing (62M02)

Abstract: The problem of parameter estimation by the continuous time observations of a deterministic signal in white gaussian noise is considered. The asymptotic properties of the maximul likelihood estimator are described in the asymptotics of small noise (large siglal-to-noise ratio). We are interested by the situation when there is a misspecification in the regularity conditions. In particular it is supposed that the statistician uses a discontinuous (change-point type) model of signal, when the true signal is continuously differentiable function of the unknown parameter.

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