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arXiv · 1509.02715

On Misspecifications in Regularity and Properties of Estimators

Oleg Chernoyarov·Yury Kutoyants·Andrei Trifonov
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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 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.

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Oleg Chernoyarov, Yury Kutoyants, Andrei Trifonov. 2015-09-09. On Misspecifications in Regularity and Properties of Estimators. https://arxiv.org/abs/1509.02715

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