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

DOI10.3103/S1066530711010042zbMATH Open1282.62049OpenAlexW1988362664MaRDI QIDQ2437994FDOQ2437994

Publication date 10 March 2014

Published in Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1010.5105

localization diffusion processes periodicity limit experiment discontinuous signals inhomogeneity in time continuous signals

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Diffusion processes (60J60)

Abstract: We consider a diffusion

(x i_{t})_{t g e 0}

whose drift contains some deterministic periodic signal. Its shape being fixed and known, up to scaling in time, the periodicity of the signal is the unknown parameter

v a r t h e t a

of interest. We consider sequences of local models at

v a r t h e t a

, corresponding to continuous observation of the process

x i

on the time interval

[0, n]

as

n o i n f t y

, with suitable choice of local scale at

v a r t h e t a

. Our tools --under an ergodicity condition-- are path segments of

x i

corresponding to the period

v a r t h e t a

, and limit theorems for certain functionals of the process

x i

which are not additive functionals. When the signal is smooth, with local scale

n^{- 3 / 2}

at

v a r t h e t a

, we have local asymptotic normality (LAN) in the sense of Le Cam (1969). When the signal has a finite number of discontinuities, with local scale

n^{- 2}

at

v a r t h e t a

, we obtain a limit experiment of different type, studied by Ibragimov and Khasminskii (1981), where smoothness of the parametrization (in the sense of Hellinger distance) is H"older

f r a c 12

.

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