Estimation for a misspecified change point type signal driven by a fractional Brownian motion

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

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Publication Details

Journal
Random Operators and Stochastic Equations
Published
2025-05-26
DOI
https://doi.org/10.1515/rose-2025-2022
Primary Topic
Stochastic processes and financial applications
Type
article
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article

Estimation for a misspecified change point type signal driven by a fractional Brownian motion

Б. Л. С. Пракаса Рао, Μ. N. Mishra
Random Operators and Stochastic Equations
Stochastic processes and financial applications
article

Estimation for a misspecified change point type signal driven by a fractional Brownian motion

Б. Л. С. Пракаса Рао, Μ. N. Mishra
article en

Abstract

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

Random Operators and Stochastic EquationsVol. 33(4)
CR Rao Advanced Institute of Mathematics, Statistics and Computer Science (IN)
Openalex Percentile: Top 85%
Stochastic processes and financial applications
DOISourceOpenAlex
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Estimation for a misspecified change point type signal driven by a fractional Brownian motion — Б. Л. С. Пракаса Рао, Μ. N. Mishra · Random Operators and Stochastic Equations (2025) | TGRS Research Map | TGRS