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arXiv · 1003.3546

On LAN for parametrized continuous periodic signals in a time inhomogeneous diffusion

Reinhard Hoepfner·Yury Kutoyants
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Abstract

We consider a diffusion $(ξ_t)_{t\ge 0}$ whose drift involves a $T$-periodic signal. $T$ is fixed and known, whereas the signal depends on an unknown $d$-dimensional parameter $\vartheta\inΘ$. Assuming positive Harris recurrence of the grid chain $(ξ_{kT})_{k\in\mathbb{N}_0}$ and exploiting the periodic structure of the semigroup, we work with path segments and limit theorems for certain functionals (more general than additive functionals) of the process to prove local asymptotic normality (LAN). Then we consider several estimators for the unknown parameter.

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Reinhard Hoepfner, Yury Kutoyants. 2010-03-18. On LAN for parametrized continuous periodic signals in a time inhomogeneous diffusion. https://arxiv.org/abs/1003.3546

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