On frequency estimation for a periodic ergodic diffusion process

DOI10.1134/S0032946012020032MaRDI QIDQ375951zbMATH OpenOpenAlexFDO

Authors R. Höpfner, Yu. A. Kutoyants

Publication date 1 November 2013

Published in Problems of Information Transmission (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1108.5314

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Diffusion processes (60J60)

Abstract: We consider the problem of frequency estimation by observations of the periodic diffusion process possesing ergodic properties in two different situations. The first one corresponds to continuously differentiable with respect to parameter trend coefficient and the second - to discontinuous trend coefficient. It is shown that in the first case the maximum likelihood and bayesian estimators are asymptotically normal with rate $T^{3/2}$ and in the second case these estimators have different limit distributions with the rate $T^2$.

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Cites work

• Estimating a periodicity parameter in the drift of a time inhomogeneous diffusion
• Estimating discontinuous periodic signals in a time inhomogeneous diffusion
• Exact computation of the asymptotic efficiency of maximum likelihood estimators of a discontinuous signal in a Gaussian white noise
• On LAN for parametrized continuous periodic signals in a time inhomogeneous diffusion
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• Statistical inference for spatial Poisson processes

Cited in

(8)

• Estimating discontinuous periodic signals in a time inhomogeneous diffusion
• On estimation errors in optical communication and location
• Estimation of hidden frequencies for 2D stationary process
• On parameter estimation of the hidden Ornstein-Uhlenbeck process
• Local asymptotic normality for shape and periodicity of a signal in the drift of a degenerate diffusion with internal variables
• Estimation and testing in generalized mean-reverting processes with change-point
• Wavelet estimation in diffusions with periodicity
• On the estimation of periodic signals in the diffusion process using a high-frequency scheme

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