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arXiv · 1509.02880

On Parameter Estimation for Cusp-type Signals

Oleg Chernoyarov·Serguei Dachian·Yury Kutoyants
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Abstract

We consider the problem of parameter estimation by the observations of deterministic signal in white gaussian noise. It is supposed that the signal has a singularity of cusp-type. The properties of the maximum likelihood and bayesian estimators are described in the asymptotics of small noise. Special attention is paid to the problem of parameter estimation in the situation of misspecification in regularity, i.e.; the statistician supposes that the observed signal has this singularity, but the real signal is smooth. The rate and the asymptotic distribution of the maximum likelihood estimator in this situation are described.

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Oleg Chernoyarov, Serguei Dachian, Yury Kutoyants. 2015-09-09. On Parameter Estimation for Cusp-type Signals. https://arxiv.org/abs/1509.02880

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