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Parametric inference for hypoelliptic ergodic diffusions with full observations

Abstract : Multidimensional hypoelliptic diffusions arise naturally in different fields, for example to model neuronal activity. Estimation in those models is complex because of the degenerate structure of the diffusion coefficient. In this paper we consider hypoelliptic diffusions, given as a solution of two-dimensional stochastic differential equations (SDEs), with the discrete time observations of both coordinates being available on an interval $T = n\Delta_n$, with $\Delta_n$ the time step between the observations. The estimation is studied in the asymptotic setting, with $T\to\infty$ as $\Delta_n\to 0$. We build a consistent estimator of the drift and variance parameters with the help of a discretized log-likelihood of the continuous process. We discuss the difficulties generated by the hypoellipticity and provide a proof of the consistency and the asymptotic normality of the estimator. We test our approach numerically on the hypoelliptic FitzHugh-Nagumo model, which describes the firing mechanism of a neuron.
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https://hal.archives-ouvertes.fr/hal-01704010
Contributor : Anna Melnykova Connect in order to contact the contributor
Submitted on : Wednesday, July 15, 2020 - 2:41:18 PM
Last modification on : Wednesday, November 3, 2021 - 8:25:53 AM

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Anna Melnykova. Parametric inference for hypoelliptic ergodic diffusions with full observations. Statistical Inference for Stochastic Processes, Springer Verlag, 2020, 23, pp.595-635. ⟨10.1007/s11203-020-09222-4⟩. ⟨hal-01704010v4⟩

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