Estimating discontinuous periodic signals in a time inhomogeneous diffusion

DOI10.1007/s11203-010-9046-7zbMath1209.62195MaRDI QIDQ2431003

Yury A. Kutoyants, Reinhard Hoepfner

Publication date: 8 April 2011

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-010-9046-7

zbMATH Keywords

periodicity; diffusions; contiguity; limit theorems; maximum likelihood estimators; Bayes estimators; convergence of experiments; local asymptotic minimax bound; likelihood ratio processes; discontinuous signal; inhomogeneity in time

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M05: Markov processes: estimation; hidden Markov models

Related Items

Nonparametric estimation of periodic signal disturbed by α-stable noises, Ergodicity for a stochastic Hodgkin-Huxley model driven by Ornstein-Uhlenbeck type input, On the asymptotic behavior of solutions of the Cauchy problem for parabolic equations with time periodic coefficients, An ergodic theorem for asymptotically periodic time-inhomogeneous Markov processes, with application to quasi-stationarity with moving boundaries, On frequency estimation for a periodic ergodic diffusion process, Robust model selection for a semimartingale continuous time regression from discrete data, On compound Poisson processes arising in change-point type statistical models as limiting likelihood ratios, On the final size of epidemics in random environment, Oracle inequalities for the stochastic differential equations, Estimation and testing in generalized mean-reverting processes with change-point, Wavelet estimation in diffusions with periodicity, Level 2.5 large deviations for continuous-time Markov chains with time periodic rates, On the asymptotic behavior of solutions of the Cauchy problem for parabolic equations with time periodic coefficients, \(Q\)-processes and asymptotic properties of Markov processes conditioned not to hit moving boundaries, Local asymptotic normality for shape and periodicity of a signal in the drift of a degenerate diffusion with internal variables, Robust adaptive efficient estimation for semi-Markov nonparametric regression models, Parameter maximum likelihood estimation problem for time periodic modulated drift Ornstein Uhlenbeck processes, Langevin dynamics with space-time periodic nonequilibrium forcing, Estimating a periodicity parameter in the drift of a time inhomogeneous diffusion, Change point testing for the drift parameters of a periodic mean reversion process, Improved estimation method for high dimension semimartingale regression models based on discrete data, Ergodicity and limit theorems for degenerate diffusions with time periodic drift. Application to a stochastic Hodgkin−Huxley model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Markov chains and stochastic stability
• Lois asymptotiques des tests et estimateurs de rupture dans un modèle statistique classique
• On limiting likelihood ratio processes of some change-point type statistical models
• Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
• Diffusion approximation of the neuronal model with synaptic reversal potentials
• Asymptotics in statistics: some basic concepts
• Statistical inference for ergodic diffusion processes.
• On Bernstein-type inequalities for martingales.
• Exact computation of the asymptotic efficiency of maximum likelihood estimators of a discontinuous signal in a Gaussian white noise
• A stochastic model and a functional central limit theorem for information processing in large systems of neurons
• On a set of data for the membrane potential in a neuron
• Delay Estimation for Some Stationary Diffusion-type Processes
• Estimation of the input parameters in the Feller neuronal model
• An Asymptotic Representation Theorem
• Diffusions and Elliptic Operators
• A characterization of limiting distributions of regular estimates
• Constrained Markov Decision Chains