On misspecifications in regularity and properties of estimators

DOI10.1214/17-EJS1385zbMATH Open1470.62127arXiv1509.02715MaRDI QIDQ1689008FDOQ1689008

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)

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.

Full work available at URL: https://arxiv.org/abs/1509.02715

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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)

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Cited In (7)

• Калибровка параметров модели навигационных приборов на базе волоконно-оптических гироскопов
• ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL
• Exact computation of the asymptotic efficiency of maximum likelihood estimators of a discontinuous signal in a Gaussian white noise
• Title not available (Why is that?)
• Estimation for misspecification when theoretical model for signal is smooth but real signal is of cusp-type and driven by a fractional Brownian motion
• On estimation errors in optical communication and location
• Asymptotic characteristics of joint estimations of signal parameters

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