Parametric inference for hypoelliptic ergodic diffusions with full observations

DOI10.1007/S11203-020-09222-4zbMATH Open1465.62047arXiv1802.02943OpenAlexW3042745567WikidataQ114223463 ScholiaQ114223463MaRDI QIDQ2023472FDOQ2023472

Anna Melnykova

Publication date: 3 May 2021

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

Abstract: Multidimensional hypoelliptic diffusions arise naturally in different fields, for example to model neuronal activity. Estimation in those models is complex because of the degenerate structure of the diffusion coefficient. In this paper we consider hypoelliptic diffusions, given as a solution of two-dimensional stochastic differential equations (SDEs), with the discrete time observations of both coordinates being available on an interval $T=nDelt{a}_n$, with $Delt{a}_n$ the time step between the observations. The estimation is studied in the asymptotic setting, with $Toinfty$ as $Delt{a}_{n}o0$. We build a consistent estimator of the drift and variance parameters with the help of a discretized log-likelihood of the continuous process. We discuss the difficulties generated by the hypoellipticity and provide a proof of the consistency and the asymptotic normality of the estimator. We test our approach numerically on the hypoelliptic FitzHugh-Nagumo model, which describes the firing mechanism of a neuron.

Full work available at URL: https://arxiv.org/abs/1802.02943

zbMATH Keywords

parametric inferencehypoelliptic diffusionscontrast estimatorneuronal Fitzhugh-Nagumo model

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Diffusion processes (60J60)

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Cited In (8)

• Optimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equations
• Operator splitting around Euler–Maruyama scheme and high order discretization of heat kernels
• Parametric inference for discretely observed non-ergodic diffusions
• Adaptive estimation for degenerate diffusion processes
• Proportional stochastic generalized Lotka-Volterra model with an application to learning microbial community structures
• Malliavin calculus techniques for local asymptotic mixed normality and their application to hypoelliptic diffusions
• Optimal control for parameter estimation in partially observed hypoelliptic stochastic differential equations
• A splitting method for SDEs with locally Lipschitz drift: illustration on the FitzHugh-Nagumo model

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