Sub-sampling and parametric estimation for multiscale dynamics
نویسندگان
چکیده
منابع مشابه
Sub-sampling and Parametric Estimation for Multiscale Dynamics
We study the problem of adequate data sub-sampling for consistent parametric estimation of unobservable stochastic differential equations (SDEs), when the data are generated by multiscale dynamic systems approximating these SDEs in some suitable sense. The challenge is that the approximation accuracy is scale dependent, and degrades at very small temporal scales. Therefore, maximum likelihood p...
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ژورنال
عنوان ژورنال: Communications in Mathematical Sciences
سال: 2013
ISSN: 1539-6746,1945-0796
DOI: 10.4310/cms.2013.v11.n4.a3