Estimation of the stepwise random disturbance parameters with the unknown moment of appearance
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Publication:2300956
DOI10.1007/s13160-019-00390-2zbMath1435.62120MaRDI QIDQ2300956
Alexei V. Zakharov, Oleg V. Chernoyarov, L. A. Golpayegani, K. S. Kalashnikov
Publication date: 28 February 2020
Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13160-019-00390-2
random process; maximum likelihood method; statistical simulation; abrupt change; local Markov approximation method; parametrical prior uncertainty
62F12: Asymptotic properties of parametric estimators
62G05: Nonparametric estimation
62M05: Markov processes: estimation; hidden Markov models