Estimating discontinuous periodic signals in a time inhomogeneous diffusion
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Publication:2431003
DOI10.1007/s11203-010-9046-7zbMath1209.62195MaRDI 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
periodicity; diffusions; contiguity; limit theorems; maximum likelihood estimators; Bayes estimators; convergence of experiments; local asymptotic minimax bound; likelihood ratio processes; discontinuous signal; inhomogeneity in time
62F12: Asymptotic properties of parametric estimators
62M05: Markov processes: estimation; hidden Markov models
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