Local Asymptotic Normality for Shape and Periodicity in the Drift of a Time Inhomogeneous Diffusion

Abstract

We consider a one-dimensional diffusion whose drift contains a deterministic periodic signal with unknown periodicity $T$ and carrying some unknown $d$-dimensional shape parameter $\theta$. We prove Local Asymptotic Normality (LAN) jointly in $\theta$ and $T$ for the statistical experiment arising from continuous observation of this diffusion. The local scale turns out to be $n^{-1/2}$ for the shape parameter and $n^{-3/2}$ for the periodicity which generalizes known results about LAN when either $\theta$ or $T$ is assumed to be known.