Maximum likelihood estimation for small noise multiscale diffusions

نویسندگان
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Maximum Likelihood Drift Estimation for Multiscale Diffusions

We study the problem of parameter estimation using maximum likelihood for fast/slow systems of stochastic differential equations. Our aim is to shed light on the problem of model/data mismatch at small scales. We consider two classes of fast/slow problems for which a closed coarse-grained equation for the slow variables can be rigorously derived, which we refer to as averaging and homogenizatio...

متن کامل

Quasi-Maximum Likelihood Estimation of Multivariate Diffusions

This paper introduces quasi-maximum likelihood estimator for multivariate diffusions based on discrete observations. A numerical solution to the stochastic differential equation is obtained by higher order Wagner-Platen approximation and it is used to derive the first two conditional moments. Monte Carlo simulation shows that the proposed method has good finite sample property for both normal a...

متن کامل

Parameter Estimation for Multiscale Diffusions

We study the problem of parameter estimation for time-series possessing two, widely separated, characteristic time scales. The aim is to understand situations where it is desirable to fit a homogenized singlescale model to such multiscale data. We demonstrate, numerically and analytically, that if the data is sampled too finely then the parameter fit will fail, in that the correct parameters in...

متن کامل

Quasi-maximum Likelihood Estimation of Discretely Observed Diffusions∗

This paper introduces quasi-maximum likelihood estimator for discretely observed diffusions when a closed-form transition density is unavailable. Higher order Wagner-Platen strong approximation is used to derive the first two conditional moments and a normal density function is used in estimation. Simulation study shows that the proposed estimator has high numerical precision and good numerical...

متن کامل

Parameter Estimation for Multiscale Diffusions: An Overview

There are many applications where it is desirable to fit reduced stochastic descriptions (eg SDEs) to data. These include molecular dynamics [28], [6], atmosphere/ocean science [13], cellular biology [2] and econometrics [4]. The data arising in these problems often has a multiscale character and may not be compatible with the desired diffusion at small scales (see [8], [14], [11], [1] and [20]...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Statistical Inference for Stochastic Processes

سال: 2013

ISSN: 1387-0874,1572-9311

DOI: 10.1007/s11203-013-9088-8