Estimating discontinuous periodic signals in a time inhomogeneous diffusion

DOI10.1007/s11203-010-9046-7zbMath1209.62195OpenAlexW2062580355MaRDI QIDQ2431003

Yury A. Kutoyants, Reinhard Hoepfner

Publication date: 8 April 2011

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

Full work available at URL: https://doi.org/10.1007/s11203-010-9046-7

zbMATH Keywords

periodicitydiffusionscontiguitylimit theoremsmaximum likelihood estimatorsBayes estimatorsconvergence of experimentslocal asymptotic minimax boundlikelihood ratio processesdiscontinuous signalinhomogeneity in time

Mathematics Subject Classification ID

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

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