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 Lansky, Phys. Rev. E 71, 011907 (2005) and Ditlevsen and Lansky, Phys. Rev. E 73, 061910 (2006) closed form estimators have been proposed for neurobiological applications. Here we study the asymptotic properties of the class of moment type estimators for parameters of diffusion processes like those in the above mentioned papers. Further, 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.

On the asymptotic behavior of the parameter estimators for some diffusion processes: application to neuronal models

GIRAUDO, Maria Teresa;SACERDOTE, Laura Lea
2009

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 Lansky, Phys. Rev. E 71, 011907 (2005) and Ditlevsen and Lansky, Phys. Rev. E 73, 061910 (2006) closed form estimators have been proposed for neurobiological applications. Here we study the asymptotic properties of the class of moment type estimators for parameters of diffusion processes like those in the above mentioned papers. Further, 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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http://www.springerlink.com/content/h71052722305/?p=98b47b2ce9b943f48f7a60d7bd2474cf&pi=0
Diffusion processes; First-passage time; Moment type estimators; Asymptotic properties; Rate of convergence; Neuronal models
M. T. Giraudo; R. M. Mininni; L. Sacerdote
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2318/56296
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