On limit distributions of estimators in irregular statistical models and a new representation of fractional Brownian motion

Kordzakhia, NE; Kutoyants, YA; Novikov, AA; Hin, LY

On limit distributions of estimators in irregular statistical models and a new representation of fractional Brownian motion

Kordzakhia, NE Kutoyants, YA Novikov, AA

Hin, LY

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Publication Type:: Journal Article
Citation:: Statistics and Probability Letters, 2018, 139 pp. 141 - 151
Issue Date:: 2018-08-01

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Field	Value	Language
dc.contributor.author	Kordzakhia, NE	en_US
dc.contributor.author	Kutoyants, YA	en_US
dc.contributor.author	Novikov, AA https://orcid.org/0000-0001-8529-173X	en_US
dc.contributor.author	Hin, LY https://orcid.org/0000-0002-6125-4632	en_US
dc.date.issued	2018-08-01	en_US
dc.identifier.citation	Statistics and Probability Letters, 2018, 139 pp. 141 - 151	en_US
dc.identifier.issn	0167-7152	en_US
dc.identifier.uri	http://hdl.handle.net/10453/130765
dc.description.abstract	© 2018 Elsevier B.V. We provide new results concerning the limit distributions of Bayesian estimators (BE) and maximum likelihood estimators (MLE) of location parameters of cusp-type signals in “signal plus white noise” models. The limit distributions of BE and MLE are expressed in terms of fractional Brownian motion (fBm) with the Hurst parameter H, 0<H<1 as the noise intensity tends to zero. A new representation of fBm is given in terms of cusp functions. Simulation results for the densities and variances of the limit distributions of BE and MLE are also discussed.	en_US
dc.relation	http://purl.org/au-research/grants/arc/DP150102758
dc.relation.ispartof	Statistics and Probability Letters	en_US
dc.relation.isbasedon	10.1016/j.spl.2018.04.004	en_US
dc.subject.classification	Statistics & Probability	en_US
dc.title	On limit distributions of estimators in irregular statistical models and a new representation of fractional Brownian motion	en_US
dc.type	Journal Article
utslib.citation.volume	139	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	0104 Statistics	en_US
utslib.for	1403 Econometrics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	in_progress
pubs.publication-status	Published	en_US
pubs.volume	139	en_US

Abstract:

© 2018 Elsevier B.V. We provide new results concerning the limit distributions of Bayesian estimators (BE) and maximum likelihood estimators (MLE) of location parameters of cusp-type signals in “signal plus white noise” models. The limit distributions of BE and MLE are expressed in terms of fractional Brownian motion (fBm) with the Hurst parameter H, 0

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http://hdl.handle.net/10453/130765