Distribution of the least-squares estimators of a single Brownian trajectory diffusion coefficient

DOI10.1088/1742-5468/2013/04/P04017zbMATH Open1456.60205arXiv1301.4374WikidataQ62269519 ScholiaQ62269519MaRDI QIDQ3301585FDOQ3301585

Authors: Denis Boyer, David S. Dean, Carlos Mejía-Monasterio, Gleb Oshanin 

Publication date: 11 August 2020

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Abstract: In this paper we study the distribution function $P(u_{alpha})$ of the estimators $$, which optimise the least-squares fitting of the diffusion coefficient $D_f$ of a single $d$-dimensional Brownian trajectory $$. We pursue here the optimisation further by considering a family of weight functions of the form $omega(t)=(t_0+t{)}^{-alpha}$, where $t_0$ is a time lag and $alpha$ is an arbitrary real number, and seeking such values of $alpha$ for which the estimators most efficiently filter out the fluctuations. We calculate $P(u_{alpha})$ exactly for arbitrary $alpha$ and arbitrary spatial dimension $d$, and show that only for $alpha=2$ the distribution $P(u_{alpha})$ converges, as $epsilon=t_0/To0$, to the Dirac delta-function centered at the ensemble average value of the estimator. This allows us to conclude that only the estimators with $alpha=2$ possess an ergodic property, so that the ensemble averaged diffusion coefficient can be obtained with any necessary precision from a single trajectory data, but at the expense of a progressively higher experimental resolution. For any $alphaeq2$ the distribution attains, as $epsilono0$, a certain limiting form with a finite variance, which signifies that such estimators are not ergodic.

Full work available at URL: https://arxiv.org/abs/1301.4374

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Mathematics Subject Classification ID

Nonparametric estimation (62G05) Brownian motion (60J65)

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Cited In (5)

• A unifying representation of path integrals for fractional Brownian motions
• Power spectral density of a single Brownian trajectory: What one can and cannot learn from it
• On the distribution of estimators of diffusion constants for Brownian motion
• Fluid heterogeneity detection based on the asymptotic distribution of the time-averaged mean squared displacement in single particle tracking experiments
• The estimation of probability distribution of SDE by only one sample trajectory

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