On cusp location estimation for perturbed dynamical systems

被引:1
|
作者
Kutoyants, Yury A. [1 ,2 ,3 ]
机构
[1] Univ Le Mans, Ave Olivier Messiaen, F-72085 Le Mans, France
[2] Natl Res Univ, Moscow Power Engn Inst, Moscow, Russia
[3] Tomsk State Univ, Tomsk, Russia
关键词
cusp; dynamical system; parameter estimation; small noise; PITMAN ESTIMATORS;
D O I
10.1111/sjos.12391
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 the problem of parameter estimation in the case of observation of the trajectory of the diffusion process. We suppose that the drift coefficient has a singularity of cusp type and that 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 asymptotic of small noise, that is, as the diffusion coefficient tends to zero. The consistency, limit distributions, and the convergence of moments of these estimators are established.
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页码:1206 / 1226
页数:21
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