Local asymptotic normality for shape and periodicity of a signal in the drift of a degenerate diffusion with internal variables

DOI10.1214/19-EJS1641MaRDI QIDQ2283567zbMATH OpenFDO

Authors Simon Holbach

Publication date 3 January 2020

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1903.03440, https://projecteuclid.org/euclid.ejs/1575687811

zbMATH Keywords

degenerate diffusionlocal asymptotic normalityneuron modelsperiodic driftparametric signal estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60)

Abstract: Taking a multidimensional time-homogeneous dynamical system and adding a randomly perturbed time-dependent deterministic signal to some of its components gives rise to a high-dimensional system of stochastic differential equations which is driven by possibly very low-dimensional noise. Equations of this type are commonly used in biology for modeling neurons or in statistical mechanics for certain Hamiltonian systems. Assuming that the signal depends on an unknown shape parameter $heta$ and also has an unknown periodicity $T$, we prove Local Asymptotic Normality (LAN) jointly in $heta$ and $T$ for the statistical experiment arising from (partial) observation of this diffusion in continuous time. The local scale turns out to be $n^{-1/2}$ for $heta$ and $n^{-3/2}$ for $T$ which generalizes known results for simpler systems.

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Cited in

(4)

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• Estimating a periodicity parameter in the drift of a time inhomogeneous diffusion
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