Estimating discontinuous periodic signals in a time inhomogeneous diffusion

DOI10.1007/S11203-010-9046-7zbMATH Open1209.62195OpenAlexW2062580355MaRDI QIDQ2431003FDOQ2431003

Authors: R. Höpfner, Yu. A. Kutoyants 

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

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zbMATH Keywords

maximum likelihood estimatorscontiguitylimit theoremsperiodicitydiffusionsBayes estimatorsconvergence of experimentslocal asymptotic minimax boundlikelihood ratio processesdiscontinuous signalinhomogeneity in time

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

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Cited In (25)

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

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