Fitting Effective Diffusion Models to Data Associated with a “Glassy" Potential: Estimation, Classical Inference Procedures, and Some Heuristics

DOI10.1137/050643647zbMath1138.62047arXivcond-mat/0510521OpenAlexW2017549465MaRDI QIDQ3503948

Christopher P. Calderon

Publication date: 10 June 2008

Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0510521

zbMATH Keywords

homogenizationstate dependent noiselocal maximum likelihood estimationeffective diffusion models

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) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Time-dependent percolation in statistical mechanics (82C43)

Related Items (4)

Parameter estimation for multiscale diffusions ⋮ Data-Driven Reduction for a Class of Multiscale Fast-Slow Stochastic Dynamical Systems ⋮ Parameter estimation for rough differential equations ⋮ Local diffusion models for stochastic reacting systems: estimation issues in equation-free numerics

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