On misspecifications in regularity and properties of estimators
Copyright policy )On misspecifications in regularity and properties of estimators
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 maximul likelihood estimator are described in the asymptotics of small noise (large siglal-to-noise ratio). We are interested by 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.
26 pages
- Omsk State University Russian Federation
- UNIVERSITE DU MAINE LE MANS France
- National Research University of Electronic Technology Russian Federation
- Tomsk State Pedagogical University Russian Federation
- Voronezh State University Russian Federation
белый гауссовский шум, Markov processes: hypothesis testing, 62M02, 62G10, 62G20, misspecification, maximum likelihood estimator, Mathematics - Statistics Theory, Statistics Theory (math.ST), change-point type model, Misspecification, 62M02, Asymptotic properties of nonparametric inference, FOS: Mathematics, асимптотические свойства оценки максимального правдоподобия, Nonparametric hypothesis testing, 62G20, 62G10, regularity conditions
белый гауссовский шум, Markov processes: hypothesis testing, 62M02, 62G10, 62G20, misspecification, maximum likelihood estimator, Mathematics - Statistics Theory, Statistics Theory (math.ST), change-point type model, Misspecification, 62M02, Asymptotic properties of nonparametric inference, FOS: Mathematics, асимптотические свойства оценки максимального правдоподобия, Nonparametric hypothesis testing, 62G20, 62G10, regularity conditions
selected citations These citations are derived from selected sources.This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).2 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Average influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Average impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Average
Citations provided by BIP!Popularity provided by BIP!