Search Results

You are looking at 1 - 2 of 2 items

  • Author: A. Höpfner x
Clear All Modify Search

Abstract

We consider a diffusion (ξ t)t≥0 whose drift involves some T-periodic signal. T is fixed and known, whereas the signal depends on a d-dimensional parameter θΘ. Assuming positive Harris recurrence of the grid chain (ξ kT)k∈N0 and exploiting the periodic structure in the semigroup, we work with path segments and limit theorems for certain functionals (more general than additive functionals) of the process to prove local asymptotic normality (LAN). Then we consider several estimators for the unknown parameter.