On cusp location estimation for perturbed dynamical systems

DOI10.1111/SJOS.12391zbMATH Open1443.62060arXiv1806.06383OpenAlexW2921510887MaRDI QIDQ3299031FDOQ3299031

Authors: Yu. A. Kutoyants 

Publication date: 17 July 2020

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Abstract: We consider the problem of parameter estimation in the case of observation of the trajectory of diffusion process. We suppose that the drift coefficient has a singularity of cusp-type and the unknown parameter corresponds to the position of the point of the cusp. The asymptotic properties of the maximum likelihood estimator and Bayesian estimators are described in the asymptotics of {it small noise}, i.e., as the diffusion coefficient tends to zero. The consistency, limit distributions and the convergence of moments of these estimators are established.

Full work available at URL: https://arxiv.org/abs/1806.06383

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zbMATH Keywords

cuspparameter estimationdynamical systemsmall noise

Mathematics Subject Classification ID

Point estimation (62F10) Diffusion processes (60J60) Dynamical systems and their relations with probability theory and stochastic processes (37A50)

Cited In (5)

• An extension of cusp estimation problem in ergodic diffusion processes
• Poisson source localization on the plane: cusp case
• On estimation errors in optical communication and location
• On some singularities in parameter estimation problems
• Estimation of cusp location by Poisson observations

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