On frequency estimation for a periodic ergodic diffusion process

On frequency estimation for a periodic ergodic diffusion process We consider the problem of frequency estimation by observations for a periodic diffusion process possessing ergodic properties in two different situations. The first corresponds to a trend coefficient continuously differentiable with respect to parameter, and the second, to a 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 rate T 2. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Problems of Information Transmission Springer Journals

On frequency estimation for a periodic ergodic diffusion process

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Publisher
SP MAIK Nauka/Interperiodica
Copyright
Copyright © 2012 by Pleiades Publishing, Ltd.
Subject
Engineering; Information Storage and Retrieval; Systems Theory, Control; Electrical Engineering; Communications Engineering, Networks
ISSN
0032-9460
eISSN
1608-3253
D.O.I.
10.1134/S0032946012020032
Publisher site
See Article on Publisher Site

Abstract

We consider the problem of frequency estimation by observations for a periodic diffusion process possessing ergodic properties in two different situations. The first corresponds to a trend coefficient continuously differentiable with respect to parameter, and the second, to a 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 rate T 2.

Journal

Problems of Information TransmissionSpringer Journals

Published: Jul 13, 2012

References

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