Communications in Statistics Stochastic Models · 1988 · 92 citations · 3 references
Natural SciencesMathematicsProbability TheoryStatisticsStochastic ProcessesEstimation TheoryJump ProcessesParameter Estimation Under UncertaintySignal ProcessingStatistical InferenceStochastic Differential EquationsJump DetectionJump DiffusionsJump DistributionsJump-diffusion ProcessesWhite Noise
Let x(t) - f{t) + w(t), where f(t) = Ex(i) has finitely many jumps only and no w(t) is a white noise. Under some conditions, consistent estimators for the number, locations and magnitudes of the jumps of f(t) are derived.
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