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A threshold estimation problem for processes with hysteresis

✍ Scribed by Mark Freidlin; Ruth Pfeiffer

Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
514 KB
Volume
36
Category
Article
ISSN
0167-7152

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✦ Synopsis

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 xl,x] >0 was crossed last. Using observations of the process over a fixed time interval we construct the maximum likelihood estimator for the unknown threshold xl. A close connection to the order statistics allows to calculate the asymptotic characteristics of the estimator. (~) 1998 Elsevier Science B.V.

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