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Estimation of change point for switching fractional diffusion processes

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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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Keywords: 60G22; 60H10; 62M86; change point; estimation; fractional Brownian motion; fractional diffusion process

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

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