On cusp location estimation for perturbed dynamical systems

Yury A. Kutoyants

Scandinavian Journal of Statistics, 2019, vol. 46, issue 4, 1206-1226

Abstract: 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.

Date: 2019
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https://doi.org/10.1111/sjos.12391

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Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:46:y:2019:i:4:p:1206-1226

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