Estimation of Cusp Location of Stochastic Processes: a Survey

Autor:	Dachian, S., Kordzakhia, N., Kutoyants, Yu. A., Novikov, A.
Rok vydání:	2017
Předmět:	Mathematics - Statistics Theory 62M02 62G10 62G20
Druh dokumentu:	Working Paper
Popis:	We present a review of some recent results on estimation of location parameter for several models of observations with cusp-type singularity at the change point. We suppose that the cusp-type models fit better to the real phenomena described usually by change point models. The list of models includes Gaussian, inhomogeneous Poisson, ergodic diffusion processes, time series and the classical case of i.i.d. observations. We describe the properties of the maximum likelihood and Bayes estimators under some asymptotic assumptions. The asymptotic efficiency of estimators are discussed as well and the results of some numerical simulations are presented. We provide some heuristic arguments which demonstrate the convergence of log-likelihood ratios in the models under consideration to the fractional Brownian motion. Comment: 22 pages,3 figure
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1711.03740 Zobrazit plný text záznamu View this record from Arxiv