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

DOI10.1214/19-EJS1641zbMATH Open1454.62093arXiv1903.03440MaRDI QIDQ2283567FDOQ2283567

Authors: Simon Holbach 

Publication date: 3 January 2020

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

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.

Full work available at URL: https://arxiv.org/abs/1903.03440

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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)

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• On LAN for parametrized continuous periodic signals in a time inhomogeneous diffusion
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• Positive Harris recurrence for degenerate diffusions with internal variables and randomly perturbed time-periodic input

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