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

IF 0.8 4区数学 Q3 MATHEMATICS, APPLIED

Stochastic Analysis and Applications Pub Date : 2022-11-07 DOI:10.1080/07362994.2022.2140677

M. N. Mishra, B. Prakasa Rao

引用次数: 0

Abstract

Abstract 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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当信号的理论模型是光滑的，而实际信号是尖峰型的，并且是分数阶布朗运动驱动时的误规范估计

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Stochastic Analysis and Applications 数学-统计学与概率论

CiteScore

2.70

自引率

7.70%

发文量

审稿时长

6-12 weeks

期刊介绍： Stochastic Analysis and Applications presents the latest innovations in the field of stochastic theory and its practical applications, as well as the full range of related approaches to analyzing systems under random excitation. In addition, it is the only publication that offers the broad, detailed coverage necessary for the interfield and intrafield fertilization of new concepts and ideas, providing the scientific community with a unique and highly useful service.