Motoneuron membrane potentials follow a time inhomogeneous jump diffusion process

Stochastic leaky integrate-and-fire models are popular due to their simplicity and statistical tractability. They have been widely applied to gain understanding of the underlying mechanisms for spike timing in neurons, and have served as building blocks for more elaborate models. Especially the Ornstein–Uhlenbeck process is popular to describe the stochastic fluctuations in the membrane potential of a neuron, but also other models like the square-root model or models with a non-linear drift are sometimes applied. Data that can be described by such models have to be stationary and thus, the simple models can only be applied over short time windows. However, experimental data show varying time constants, state dependent noise, a graded firing threshold and time-inhomogeneous input. In the present study we build a jump diffusion model that incorporates these features, and introduce a firing mechanism with a state dependent intensity. In addition, we suggest statistical methods to estimate all unknown quantities and apply these to analyze turtle motoneuron membrane potentials. Finally, simulated and real data are compared and discussed. We find that a square-root diffusion describes the data much better than an Ornstein–Uhlenbeck process with constant diffusion coefficient. Further, the membrane time constant decreases with increasing depolarization, as expected from the increase in synaptic conductance. The network activity, which the neuron is exposed to, can be reasonably estimated to be a threshold version of the nerve output from the network. Moreover, the spiking characteristics are well described by a Poisson spike train with an intensity depending exponentially on the membrane potential

Statistics on crossings of discretized diffusions and local time

Let X[Delta] be the process obtained by linear interpolation from discrete observations of a diffusion X. In the first part of this paper we study the statistical properties of the observation sgn X[Delta]. In the second part we prove that the number of zero-crossings of X[Delta], suitably normalized, converges in (L2-norm) to the zero local time of X.diffusion local time crossings estimation

Approximation du temps local des processus gaussiens stationnaires par regularisation des trajectoires

National audienc

Predictive Inference for Integrated Volatility

Numerous volatility-based derivative products have been engineered in recent years. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this article we propose nonparametric estimators of the aforementioned quantities, based on model-free volatility estimators. We establish consistency and asymptotic normality for the feasible estimators and study their finite-sample properties through a Monte Carlo experiment. Finally, using data from the New York Stock Exchange, we provide an empirical application to volatility directional predictability