Local asymptotic normality for shape and periodicity of a signal in the drift of a degenerate diffusion with internal variables (Q2283567): Difference between revisions

In the paper under review, a high-dimensional system of stochastic differential equations (that is driven by possibly very low-dimensional noise) is considered. This system is divided into two groups of variables $X$ and $Y$: the components of $X$ whose dynamics depend directly on the signal and the components of $Y$, which are affected by the signal only indirectly through the influence of $X$. Assuming that the signal depends on an unknown shape parameter $\theta$ and also has an unknown periodicity $T$, the author proves Local Asymptotic Normality (LAN), jointly in $\theta$ and $T$, for the statistical experiment arising from (partial) observation of this diffusion in continuous time. The presented approach unifies and extends existing results on LAN in variants of the signal in noise model where the parameters $\theta$ and $T$ are treated separately.