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2018 On misspecifications in regularity and properties of estimators
Oleg V. Chernoyarov, Yury A. Kutoyants, Andrei P. Trifonov
Electron. J. Statist. 12(1): 80-106 (2018). DOI: 10.1214/17-EJS1385

Abstract

The problem of parameter estimation by the continuous time observations of a deterministic signal in white Gaussian noise is considered. The asymptotic properties of the maximum likelihood estimator are described in the asymptotic of small noise (large signal-to-noise ratio). We are interested in the situation when there is a misspecification in the regularity conditions. In particular it is supposed that the statistician uses a discontinuous (change-point type) model of signal, when the true signal is continuously differentiable function of the unknown parameter.

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Oleg V. Chernoyarov. Yury A. Kutoyants. Andrei P. Trifonov. "On misspecifications in regularity and properties of estimators." Electron. J. Statist. 12 (1) 80 - 106, 2018. https://doi.org/10.1214/17-EJS1385

Information

Received: 1 June 2017; Published: 2018
First available in Project Euclid: 12 January 2018

zbMATH: 06825054
MathSciNet: MR3745584
Digital Object Identifier: 10.1214/17-EJS1385

Subjects:
Primary: 62G10 , 62M02
Secondary: 62G20

Keywords: change-point type model , maximum likelihood estimator , misspecification , regularity conditions

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