A threshold estimation problem for processes with hysteresis

被引：4
|
作者：
Freidlin, M [1 ]
Pfeiffer, R [1 ]
机构：
[1] Univ Maryland, Dept Math, College Pk, MD 20742 USA
来源：
STATISTICS & PROBABILITY LETTERS | 1998年 / 36卷 / 04期
基金：
美国国家航空航天局; 美国国家科学基金会;
关键词：
hysteresis; stochastic processes; threshold estimation; maximum likelihood method; asymptotic properties; nonregular asymptotics;
D O I：
10.1016/S0167-7152(97)00080-1
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We consider a system with hysteresis: the motion of a particle is governed by one of two stochastic differential equations depending on which of two thresholds 0 and x(1),x(1)>0 was crossed last. Using observations of the process over a fixed time interval we construct the maximum likelihood estimator for the unknown threshold x(1). A close connection to the order statistics allows to calculate the asymptotic characteristics of the estimator. (C) 1998 Elsevier Science B.V.
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页码：337 / 347
页数：11
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