On the asymptotic behavior of the parameter estimators for some diffusion processes: application to neuronal models |
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Authors: | Maria Teresa Giraudo Rosa Maria Mininni Laura Sacerdote |
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Institution: | (1) Department of Mathematics, University of Torino, Via Carlo Alberto 10, 10123 Torino, Italy;(2) Department of Mathematics, University of Bari, Via Orabona 4, 70125 Bari, Italy |
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Abstract: | We consider a sample of i.i.d. times and we interpret each item as the first-passage time (FPT) of a diffusion process through a constant boundary.
The problem is to estimate the parameters characterizing the underlying diffusion process through the experimentally observable
FPT’s. Recently in Ditlevsen and Lánsky (Phys Rev E 71, 2005) and Ditlevsen and Lánsky (Phys Rev E 73, 2006) closed form estimators
have been proposed for neurobiological applications. Here we study the asymptotic properties (consistency and asymptotic normality)
of the class of moment type estimators for parameters of diffusion processes like those in Ditlevsen and Lánsky (Phys Rev
E 71, 2005) and Ditlevsen and Lánsky (Phys Rev E 73, 2006). Furthermore, to make our results useful for application instances
we establish upper bounds for the rate of convergence of the empirical distribution of each estimator to the normal density.
Applications are also considered by means of simulated experiments in a neurobiological context.
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Keywords: | Diffusion processes First-passage time Moment type estimators Asymptotic properties Rate of convergence Neuronal models |
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