On frequency estimation for a periodic ergodic diffusion process

DOI10.1134/S0032946012020032zbMATH Open1283.94017arXiv1108.5314OpenAlexW2072907159MaRDI QIDQ375951FDOQ375951

Authors: R. Höpfner, Yu. A. Kutoyants 

Publication date: 1 November 2013

Published in: Problems of Information Transmission (Search for Journal in Brave)

Abstract: We consider the problem of frequency estimation by observations of the periodic diffusion process possesing ergodic properties in two different situations. The first one corresponds to continuously differentiable with respect to parameter trend coefficient and the second - to discontinuous trend coefficient. It is shown that in the first case the maximum likelihood and bayesian estimators are asymptotically normal with rate $T^{3/2}$ and in the second case these estimators have different limit distributions with the rate $T^2$.

Full work available at URL: https://arxiv.org/abs/1108.5314

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Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Diffusion processes (60J60)

Cites Work

• Statistical inference for spatial Poisson processes
• Statistical inference for ergodic diffusion processes.
• Exact computation of the asymptotic efficiency of maximum likelihood estimators of a discontinuous signal in a Gaussian white noise
• Estimating discontinuous periodic signals in a time inhomogeneous diffusion
• Estimating a periodicity parameter in the drift of a time inhomogeneous diffusion
• On a set of data for the membrane potential in a neuron
• On LAN for parametrized continuous periodic signals in a time inhomogeneous diffusion
• On minimal α-mean error parameter transmission over a Poisson channel

Cited In (7)

• Wavelet estimation in diffusions with periodicity
• On parameter estimation of the hidden Ornstein-Uhlenbeck process
• Estimation and testing in generalized mean-reverting processes with change-point
• Estimating discontinuous periodic signals in a time inhomogeneous diffusion
• Local asymptotic normality for shape and periodicity of a signal in the drift of a degenerate diffusion with internal variables
• On estimation errors in optical communication and location
• Estimation of hidden frequencies for 2D stationary process

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