On a representation of fractional Brownian motion and the limit distributions of statistics arising in cusp statistical models

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Kordzakhia, Nino; Kutoyants, Yury; Novikov, Alex; Hin, Lin-Yee;
  • Subject: Mathematics - Statistics Theory
    arxiv: Mathematics::Probability

We discuss some extensions of results from the recent paper by Chernoyarov et al. (Ann. Inst. Stat. Math., October 2016) concerning limit distributions of Bayesian and maximum likelihood estimators in the model "signal plus white noise" with irregular cusp-type signals.... View more
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