Estimation for misspecification when theoretical model for signal is smooth but real signal is of cusp-type and driven by a fractional Brownian motion

We study the problem of misspecification when the model proposed by the statistician (theoretical model) through a stochastic differential equation is smooth in the drift but the real model has a cusp-type singularity in the drift function and the driving force is a fractional Brownian motion.

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Bibliographic Details
Published inStochastic analysis and applications Vol. 41; no. 6; pp. 1119 - 1135
Main Authors Mishra, M. N., Prakasa Rao, B. L. S.
Format Journal Article
LanguageEnglish
Published Philadelphia Taylor & Francis 02.11.2023
Taylor & Francis Ltd
Subjects
Brownian motion
cusp-type signal
Cusps
Differential equations
Drift
fractional Brownian motion
maximum likelihood estimation
Misspecified model
Primary 60G22
Secondary 62M09
stochastic differential equation
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Summary:We study the problem of misspecification when the model proposed by the statistician (theoretical model) through a stochastic differential equation is smooth in the drift but the real model has a cusp-type singularity in the drift function and the driving force is a fractional Brownian motion.
ISSN:0736-2994
1532-9356
DOI:10.1080/07362994.2022.2140677