Estimation of change point for switching fractional diffusion processes
We study the asymptotic distribution of the maximum likelihood estimator (MLE) for the change point for fractional diffusion processes as the noise intensity tends to zero. It was shown that the rate of convergence here is higher than the rate of convergence of the distribution of the MLE in classical parametric models dealing with independent identically distributed observations with finite and positive Fisher information.
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Document Type: Research Article
Affiliations: 1: Institute of Mathematics and Applications, Bhubaneswar, India 2: CR Rao Advanced Institute of Mathematics, Statistics and Computer Science, Hyderabad, India
Publication date: May 4, 2014