A threshold estimation problem for processes with hysteresis

We consider a system with hysteresis: the motion of a particle is governed by one of two stochastic differential equations depending on which of two thresholds 0 and x1,x1 > 0 was crossed last. Using observations of the process over a fixed time interval we construct the maximum likelihood estimator for the unknown threshold x1. A close connection to the order statistics allows to calculate the asymptotic characteristics of the estimator.

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Year of publication:	1998
Authors:	Freidlin, Mark ; Pfeiffer, Ruth
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 36.1998, 4, p. 337-347
Publisher:	Elsevier
Keywords:	Hysteresis Stochastic processes Threshold estimation Maximum likelihood method Asymptotic properties Nonregular asymptotics

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254950