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

DOI10.3103/S1066530711010042zbMATH Open1282.62049arXiv1010.5105OpenAlexW1988362664MaRDI QIDQ2437994FDOQ2437994

Authors: R. Höpfner, Yu. A. Kutoyants 

Publication date: 10 March 2014

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

Abstract: We consider a diffusion $(x{i}_t{)}_{tge0}$ 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 $vartheta$ of interest. We consider sequences of local models at $vartheta$, corresponding to continuous observation of the process $xi$ on the time interval $[0,n]$ as $noinfty$, with suitable choice of local scale at $vartheta$. Our tools --under an ergodicity condition-- are path segments of $xi$ corresponding to the period $vartheta$, and limit theorems for certain functionals of the process $xi$ which are not additive functionals. When the signal is smooth, with local scale $n^{-3/2}$ at $vartheta$, 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 $vartheta$, 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 $frac12$.

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

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• scientific article; zbMATH DE number 6285794

zbMATH Keywords

localizationdiffusion processesperiodicitylimit experimentdiscontinuous signalsinhomogeneity in timecontinuous signals

Mathematics Subject Classification ID

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

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Cited In (9)

• A note on estimating drift and diffusion parameters from time series
• Wavelet estimation in diffusions with periodicity
• On parameter estimation of the hidden Ornstein-Uhlenbeck process
• Estimating discontinuous periodic signals in 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
• Polynomials under Ornstein-Uhlenbeck noise and an application to inference in stochastic Hodgkin-Huxley systems
• Local asymptotic normality for shape and periodicity of a signal in the drift of a degenerate diffusion with internal variables
• On frequency estimation for a periodic ergodic diffusion process

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