Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions
Publication:2128080
DOI10.1007/s11222-022-10081-7zbMath1484.62001arXiv2104.10587OpenAlexW3154183989MaRDI QIDQ2128080
Grigorios A. Pavliotis, Andrea Zanoni, Assyr Abdulle
Publication date: 21 April 2022
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2104.10587
parameter estimationeigenvalue problemhomogenizationdiffusion processfilteringdiscrete observationsLangevin dynamicsmartingale estimators
Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)
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