Estimation in discretely observed diffusions killed at a threshold
Scandinavian Journal of Statistics(2010)
摘要
Parameter estimation in diffusion processes from discrete observations up to
a first-hitting time is clearly of practical relevance, but does not seem to
have been studied so far. In neuroscience, many models for the membrane
potential evolution involve the presence of an upper threshold. Data are
modeled as discretely observed diffusions which are killed when the threshold
is reached. Statistical inference is often based on the misspecified likelihood
ignoring the presence of the threshold causing severe bias, e.g. the bias
incurred in the drift parameters of the Ornstein-Uhlenbeck model for biological
relevant parameters can be up to 25-100
likelihood function of the killed process. When estimating from a single
trajectory, considerable bias may still be present, and the distribution of the
estimates can be heavily skewed and with a huge variance. Parametric bootstrap
is effective in correcting the bias. Standard asymptotic results do not apply,
but consistency and asymptotic normality may be recovered when multiple
trajectories are observed, if the mean first-passage time through the threshold
is finite. Numerical examples illustrate the results and an experimental data
set of intracellular recordings of the membrane potential of a motoneuron is
analyzed.
更多查看译文
AI 理解论文
溯源树
样例
生成溯源树,研究论文发展脉络
Chat Paper
正在生成论文摘要