Adaptive sub-sampling for parametric estimation of Gaussian diffusions
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Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)
Recommendations
- Parametric estimation from approximate data: non-Gaussian diffusions
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- Parametric estimation of stationary stochastic processes under indirect observability
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- Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process
Cites work
- scientific article; zbMATH DE number 3954108 (Why is no real title available?)
- A mathematical framework for stochastic climate models
- A priori tests of a stochastic mode reduction strategy
- An Averaging Principle for Fast Degrees of Freedom Exhibiting Long-Term Correlations
- Automated Model Reduction for Complex Systems Exhibiting Metastability
- Intermittency, metastability and coarse graining for coupled deterministic–stochastic lattice systems
- Maximum likelihood drift estimation for multiscale diffusions
- Multiscale couplings in prototype hybrid deterministic/stochastic systems. I: Deterministic closures
- Multiscale couplings in prototype hybrid deterministic/stochastic systems. II: stochastic closures
- Optimal prediction and the Mori–Zwanzig representation of irreversible processes
- Optimal prediction with memory
- Parameter estimation for multiscale diffusions
- Stochastic description of traffic flow
- Stochastic models for selected slow variables in large deterministic systems
- Unresolved computation and optimal predictions
Cited in
(20)- Realised volatility and parametric estimation of Heston SDEs
- Drift estimation of multiscale diffusions based on filtered data
- Maximum likelihood estimation for multiscale Ornstein-Uhlenbeck processes
- Parametric estimation from approximate data: non-Gaussian diffusions
- Sub-sampling and parametric estimation for multiscale dynamics
- A new framework for extracting coarse-grained models from time series with multiscale structure
- Statistical inference for perturbed multiscale dynamical systems
- Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering
- Notes on estimating inverse-Gaussian and gamma subordinators under high-frequency sampling
- Multiscale modelling and inverse problems
- Perturbation-based inference for diffusion processes: obtaining effective models from multiscale data
- Parametric estimation of stationary stochastic processes under indirect observability
- An ensemble Kalman filter for statistical estimation of physics constrained nonlinear regression models
- Adaptive estimation of an ergodic diffusion process based on sampled data
- Stochastic gradient descent in continuous time for drift identification in multiscale diffusions
- Discrete-time statistical inference for multiscale diffusions
- Maximum likelihood estimation for small noise multiscale diffusions
- Quantifying truncation-related uncertainties in unsteady fluid dynamics reduced order models
- Real-time estimation and prediction of unsteady flows using reduced-order models coupled with few measurements
- Discrete-time inference for slow-fast systems driven by fractional Brownian motion
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