Special Models

Cusp Estimation
Let the observed process be
dX
t
= a |X
t
|

dt +h(X
t
) dt + dW
t
, X
0
, 0 t T,
where (0, 1/2).
The MLE

T
and BE (for quadratic loss function)

T
are dened by
the usual relations
L
_

T
, X
T
_
= sup

L
_
, X
T
_
,

T
=
_

p
_
|X
T
_
d, p
_
|X
T
_
=
p() L
_
, X
T
_
_

p(v) L(v, X
T
) dv
.
1
Introduce the process
Z (u) = exp
_
W
H
(u)
1
2
|u|
2H
_
, u IR,
where W
H
() is fBm, H = + 1/2 and random variables
Z ( u) = sup
uIR
Z (u) , u =
_
IR
u Z(u) du
_
IR
Z(v) dv
.
and the constant

=
2a
2
G()

_
1 +
_

_
1
2

_
2
2

(2 + 1)
_
1 cos()

,
2
Put

=
1/H

. The lower bound for all estimators

T
lim
0
lim
T
sup
|
0
|<
T
1/H
E

T

_
2

E u
2

0
,
The MLE and BE are consistent, have the following limits in
distribution
L

_
T
1/2H
_

T

__
=L

_
u

_
,
L

_
T
1/2H
_

T

__
=L

_
u

_
,
and we have the convergence of moments too. Moreover, the BE are
asymptotically ecient.
3
Introduce the normalized LR
Z
T
(u) =
L
_
+T
1/2H
u, X
T
_
L(, X
T
)
,
where u U
T
=
_
T
1/2H
( ) , T
1/2H
( )
_
and show that
(Z
T
(u
1
) , . . . , Z
T
(u
k
)) (Z

(u
1
) , . . . , Z

(u
k
)),
E

Z
T
(u
2
)
1/2
Z
T
(u
1
)
1/2

2
C |u
2
u
1
|
2H
,
P

_
Z
T
(u) > e
|u|
2H
_

C
N
|u|
N
Here Z

(u) = Z ( () u).
4
The limit distribution of the MLE we obtained by the usual way.
P

0
_
T
1/2H
_

T

0
_
< x
_
=
= P
_
sup
T
1/2H
(
0
)<x
L
_
, X
T
_
> sup
T
1/2H
(
0
)x
L
_
, X
T
_
_
= P
_
sup
T
1/2H
(
0
)<x
L
_
, X
T
_
L(
0
, X
T
)
> sup
T
1/2H
(
0
)x
L
_
, X
T
_
L(
0
, X
T
)
_
= P
_
sup
u<x
Z
T
(u) > sup
ux
Z
T
(u)
_
P
_
sup
u<x
Z

(u) > sup

ux
Z

(u)
_
= P
_
u
(
0
)
< x
_
, i.e. T
1/2H
_

T

0
_
=
u
(
0
)
.
where we put =
0
+T
1/2H
u.
5
Z
T
(u) Z

(u)? Let us put

t
(u) = S
_
+T
1/2H
u, X
t
_
S (, X
t
) . Then
lnZ
T
(u) =
_
T
0

t
(u) dW
t

1
2
_
T
0

t
(u)
2
dt.
For the ordinary integral (
T
= T
1/2H
)
J
T
=
_
T
0

t
(u)
2
dt = a
2
_
T
0
(|X
t

T
u|

|X
t
|

)
2
dt+o (1) .
Further
_
T
0
(|X
t

T
u|

|X
t
|

)
2
dt
= T
_

(|x
T
u|

|x |

)
2
f

T
(x) dx
= T
_

(|x
T
u|

|x |

)
2
f (, x) dx +o (1)
6
We change the variable x = +s
T
u
a
2
T
_

(|x
T
u|

|x |

)
2
f (, x) dx
= |u|
2+1
a
2

2+1
T
T f (, )
_

(|s 1|

|s|

)
2
ds +o (1)

|u|
2+1
, i.e. J
T

2

|u|
2H
,
because
2+1
T
T = 1. By the CLT
_
T
0

t
(u) dW
t
=N
_
0,
2

|u|
2H
_
W
H
( () u) .
7
Delay Estimation
The observed process is
dX
t
= X
t
dt + dW
t
, X
0
(s) , s 0,
where > 0, 0 < < /2. Note that
X
t
= X
0
+
_
t
0
X
s
ds +W
t
Therefore the trend is as smooth w.r.t. as Wiener process w.r.t.
time (nondiferentiable). The Gaussian process X
t
has ergodic
properties.
8
Introduce the stochastic process
Z (u) = exp
_
W (u)
|u|
2
_
, u IR
and the random variables
u = arg sup
uIR
Z (u) , u =
_
IR
u Z (u) du
_
IR
Z (u) du
.
Note that
E u
2
= 26, E u
2
=
2
0
,
2
0
= 16 (3) 19.3
9
The lower bound for all estimators

T
is
lim
0
lim
T
sup
|
0
|<
T
2
E

T

_
2

E u
2

2
,
The MLE and BE are consistent, have the following limits in
distribution
T
_

T

_
=
u

, T
_

T

_
=
u

,
Moreover, the BE are asymptotically ecient. Introduce
Z
T
(u) =
L
_
+T
1
u, X
T
_
L(, X
T
)
=Z (u) ?
10
For the MLE we have once more :
P

0
_
T
_

T

0
_
< x
_
=
= P
_
sup
T(
0
)<x
L
_
, X
T
_
> sup
T(
0
)x
L
_
, X
T
_
_
= P
_
sup
T(
0
)<x
L
_
, X
T
_
L(
0
, X
T
)
> sup
T(
0
)x
L
_
, X
T
_
L(
0
, X
T
)
_
= P
_
sup
u<x
Z
T
(u) > sup
ux
Z
T
(u)
_
P
_
sup
u<x
Z (u) > sup
ux
Z (u)
_
= P
_
u

< x
_
, i.e. T
_

T

0
_
=
u

.
where we put =
0
+T
1
u.
11
Why Z
T
(u) Z (u)? Put
t
(u) = X
tu/T
X
t
. Then

t
(u) =
_
t
u
T
t
X
s
ds +
_
W
t
u
T
W
t
_
=
u
T
X
t2
(1 +o(1)) +
1

T
W
t
(u).
Further
_
T
0

t
(u)
2
dt
1
T
_
T
0
W
t
(u)
2
dt |u| .
Hence, by CLT
_
T
0
_
X
tu/T
X
t
_
dW
t
=N (0, |u|) W (u)
12
Change-point estimation
Suppose that the observed diusion process
dX
t
= S (, X
t
) dt + (X
t
) dW
t
, X
0
, 0 t T,
where the trend coecient S (, x) is discontinuous function along the
two curves
_
x
(1)

() , [, ]
_
,
_
x
(2)

() , [, ]
_
.
Example. Let (, ), > 1
dX
t
= X
t
sgn
_
X
2
t
2 X
t
+ 1
_
dt + dW
t
.
13

=
2

i=1

x
(i)

()

_
_
S
+
() S

()

_
x
(i)

()
_
_
_
2
f

,
where S

() = S
_
, x
(i)

()
_
, f

= f
_
, x
(i)

()
_
,
x
(i)

() =
dx
(i)

d
() , [, ]
and introduce the process
Z (u) = exp
_
W (u)
|u|
2
_
, u IR,
where W (u) , u IR is two-sided Wiener process. The r.v.s u and u
are dened with the help of Z ().
14
Low bound
lim
0
lim
T
sup
|
0
|<
T
2
E

T

_
2

E u
2

0
,
Theorem 1 The MLE

T
and the BE

T
are uniformly on
compacts K consistent, their limit distributions are
T
_

T

_
=
u

, T
_

T

_
=
u

,
the moments converge and the estimator

T
is asymptotically
ecient.
The normalized LR is
Z
T
(u) =
L
_
+T
1
u, X
T
_
L(, X
T
)
=Z (

u) ?
15
As usual to show that T
_

T

0
_
= u
1

we write
P

0
_
T
_

T

0
_
< x
_
= P
_
sup
u<x
Z
T
(u) > sup
ux
Z
T
(u)
_
P
_
sup
u<x
Z (

u) > sup
ux
Z (

u)
_
= P
_
u

< x
_
.
Examples.
dX
t
= sgn(X
t
) dt + dW
t
, 0 t T,
dX
t
= X
t
_
a +b 1I
{<X
t
<c+}
_
dt + dW
t
,
dX
t
= X
t
_
a +b 1I
{
1
<X
t
<
2
}
_
dt + dW
t
.
16
Simple switching with f (, x) = e
2|x|
dX
t
= sgn(X
t
) dt + dW
t
lnZ
T
(u) =
_
T
0
1I
{X
t
+u/T}
dW
t

1
2
_
T
0
1I
{X
t
+u/T}
dt
We have (u > 0)
_
T
0
1I
{X
t
+u/T}
dt = T
_

1I
{x+u/T}
f

T
(x) dx
= T
_
+u/T

T
(x) dx uf (, ) = u
and
_
T
0
1I
{X
t
+u/T}
dW
t
=N (0, |u|) W (u)
17
Nonparametric estimation
Diusion process
dX
t
= S(X
t
) dt +(X
t
) dW
t
, X
0
, t 0.
The functions S() and () > 0 are continuous and S () is unknown.
Conditions:
_
x
0
exp
_
2
_
y
0
S(v)

2
(v)
dv
_
dy , x
and
G(S) =
_

1
(x)
2
exp
_
2
_
x
0
S(v)

2
(v)
dv
_
dx <
The process X
t
is ergodic.
18
The invariant density function
f
S
(x) =
1
G(S)(x)
2
exp
_
2
_
x
0
S(v)

2
(v)
dv
_
, F
S
(x) =
_
x

f
S
(y) dy.
Main Problems:
Distribution function estimation F
S
(x)
Invariant density estimation f
S
(x)
Trend coecient estimation S (x)
Fix some S

() and introduce the set

V

= {S() : sup
xIR
|S(x) S

(x)| }
19
Distribution function estimation.
Empirical distribution function is consistent

F
T
(x) =
1
T
_
T
0
1I
{X
t
<x}
dt F
S
(x)
and asymptotically normal

T
_

F
T
(x) F (x)
_
=N
_
0, I
F
(S, x)
1
_
where the Fisher information I
F
(S, x) = d
F
(S, x)
2
,
d
F
(S, x)
2
= 4 E
S
_
F ( x) F () F (x)
() f ()
_
2
<
20
It follows from the representation

T
_

F
T
(x) F (x)
_
=
2

T
_
X
T
X
0
F (v x) F (v) F (x)
(v)
2
f (v)
dv

T
_
T
0
F (X
t
x) F (X
t
) F (x)
(X
t
) f (X
t
)
dW
t
.
Is it possible to estimate better? Lower bound:
lim
0
lim
T
sup
S()V

T E
S
_

F
T
(x) F
S
(x)
_
2
I
F
(S

, x)
1
.
21
The rst step is
sup
S()V

T E
S
_

F
T
(x) F
S
(x)
_
2
sup
|
0
|<
E

F
T
(x) F

(x)
_
2
where the parametric family is
dX
t
= [S

(X
t
) + (
0
)(X
t
) (X
t
)
2
] dt +(X
t
) dW
t
,
The DF can be expanded by

(x) = F(x) + 2 (
0
) E
_
[1I
{<x}
F(x)]
_

0
(y) dy
_
+o(1),
Introduce the class
K =
_
() : E
_
[1I
{<x}
F(x)]
_

0
(y) dy
_
=
1
2
_
.
Then with
0
= F(x) obtain F

(x) = +o (1)
22
sup
|
0
|<
TE

F
T
(x) F

(x)
_
2
= sup
|
0
|<
TE

T

_
2
I
1

where I

= E ()
2
()
2
. We have to nd the least favorable I

:
inf
()K
I

= I

.
We obtain the inequality
I

_
4 E
_
[1 F( x)]F( x)
() f()
_
2
_
1
= I
F
(S

, x)
Hence
I

=
_
4 E
_
[1 F( x)]F( x)
() f()
_
2
_
1
= I
F
(S

, x)
and EDF is asimptotically ecient.
23