Exact computation of the asymptotic efficiency of maximum likelihood estimators of a discontinuous signal in a Gaussian white noise

DOI10.1214/AOS/1176324618MaRDI QIDQ1906182zbMATH OpenOpenAlexFDO

Authors Kai-Sheng Song, Herman Rubin

Publication date 8 February 1996

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176324618

zbMATH Keywords

asymptotic efficiencyBrownian motionchange-pointdiscontinuous signalexact varianceGaussian white noisemaximum likelihood estimatorsPitman estimatorRiemann zeta function

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

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Cited in

(13)

• On limit distributions of estimators in irregular statistical models and a new representation of fractional Brownian motion
• Efficient parametric estimation for a signal-plus-noise Gaussian model from discrete time observations
• On two estimates related to the change-point problem
• On statistical problems in geolocation
• Estimating discontinuous periodic signals in a time inhomogeneous diffusion
• Estimating a periodicity parameter in the drift of a time inhomogeneous diffusion
• On frequency estimation for a periodic ergodic diffusion process
• On identification of the threshold diffusion processes
• On the asymptotic structure of Brownian motions with a small lead-lag effect
• ON DELAY ESTIMATION FOR STOCHASTIC DIFFERENTIAL EQUATIONS
• Discussion on “Sequential Design and Estimation in Heteroscedastic Nonparametric Regression” by Sam Efromovich
• On compound Poisson processes arising in change-point type statistical models as limiting likelihood ratios
• On limiting likelihood ratio processes of some change-point type statistical models

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