Maximum likelihood estimation of drift and diffusion functions

DOI10.1016/J.PHYSLETA.2007.03.082zbMath1209.82028arXivphysics/0611102OpenAlexW2019548358WikidataQ126266580 ScholiaQ126266580MaRDI QIDQ715882

David Kleinhans, Rudolf Friedrich

Publication date: 19 April 2011

Published in: Physics Letters. A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/physics/0611102

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Related Items (11)

Parameter estimation for multivariate diffusion systems ⋮ A stochastic solution with Gaussian stationary increments of the symmetric space-time fractional diffusion equation ⋮ Simulation of branching random walks on a multidimensional lattice ⋮ Reconstruction of the modified discrete Langevin equation from persistent time series ⋮ On distributions of functionals of anomalous diffusion paths ⋮ On the fractional Poisson process and the discretized stable subordinator ⋮ Finite sampling interval effects in Kramers-Moyal analysis ⋮ Bi-SOC-states in one-dimensional random cellular automaton ⋮ Moments for tempered fractional advection-diffusion equations ⋮ Stochastic modelling of a noise-driven global instability in a turbulent swirling jet ⋮ One-shot learning of stochastic differential equations with data adapted kernels

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Fokker-Planck equation. Methods of solution and applications.
• Reconstruction of dynamical equations for traffic flow
• An iterative procedure for the estimation of drift and diffusion coefficients of langevin processes
• Analysis of data sets of stochastic systems
• On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations*
• Self-Organization and Information
• A new technique for simulating the likelihood of stochastic differential equations
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Handbook of stochastic methods for physics, chemistry and natural sciences.

This page was built for publication: Maximum likelihood estimation of drift and diffusion functions