Discrete-time statistical inference for multiscale diffusions

DOI10.1137/17M1147408MaRDI QIDQ4627436zbMATH OpenWikidataFDO

Authors Siragan Gailus, Konstantinos Spiliopoulos

Publication date 11 March 2019

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

Full work available at URL https://arxiv.org/abs/1709.02223

zbMATH Keywords

parameter estimationaveraginghomogenizationmultiscale diffusionsslow fast

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Markov processes: hypothesis testing (62M02) Central limit and other weak theorems (60F05) Prediction theory (aspects of stochastic processes) (60G25) Diffusion processes (60J60)

Abstract: We study statistical inference for small-noise-perturbed multiscale dynamical systems under the assumption that we observe a single time series from the slow process only. We construct estimators for both averaging and homogenization regimes, based on an appropriate misspecified model motivated by a second-order stochastic Taylor expansion of the slow process with respect to a function of the time-scale separation parameter. In the case of a fixed number of observations, we establish consistency, asymptotic normality, and asymptotic statistical efficiency of a minimum contrast estimator (MCE), the limiting variance having been identified explicitly; we furthermore establish consistency and asymptotic normality of a simplified minimum constrast estimator (SMCE), which is however not in general efficient. These results are then extended to the case of high-frequency observations under a condition restricting the rate at which the number of observations may grow vis-`a-vis the separation of scales. Numerical simulations illustrate the theoretical results.

Recommendations

• Statistical inference for perturbed multiscale dynamical systems
• Discrete-time inference for slow-fast systems driven by fractional Brownian motion
• Semiparametric drift and diffusion estimation for multiscale diffusions
• Maximum likelihood estimation for small noise multiscale diffusions
• Parameter estimation for multiscale diffusions

Cites work

• scientific article; zbMATH DE number 3862279 (Why is no real title available?)
• scientific article; zbMATH DE number 3940388 (Why is no real title available?)
• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• scientific article; zbMATH DE number 782641 (Why is no real title available?)
• scientific article; zbMATH DE number 1432782 (Why is no real title available?)
• A Tale of Two Time Scales
• Adaptive sub-sampling for parametric estimation of Gaussian diffusions
• An applied mathematics perspective on stochastic modelling for climate
• Cell Mechanics
• Elliptic partial differential equations of second order
• Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions
• Fluctuation analysis and short time asymptotics for multiple scales diffusion processes
• Maximum likelihood drift estimation for multiscale diffusions
• Maximum likelihood estimation for small noise multiscale diffusions
• Multiscale Methods
• On Poisson equation and diffusion approximation. II.
• On polynomial mixing bounds for stochastic differential equations
• On the Poisson equation and diffusion approximation. I
• Ordinary differential equations with applications
• Parameter estimation for multiscale diffusions
• Parameter estimation in stochastic differential equations.
• Parametric inference for discretely observed multidimensional diffusions with small diffusion coefficient
• Semiparametric drift and diffusion estimation for multiscale diffusions
• Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model
• Small-diffusion asymptotics for discretely sampled stochastic differential equations
• Small-time asymptotics for fast mean-reverting stochastic volatility models
• Statistical inference for ergodic diffusion processes.
• Statistical inference for perturbed multiscale dynamical systems
• Sub-sampling and parametric estimation for multiscale dynamics

Cited in

(19)

• Typical dynamics and fluctuation analysis of slow-fast systems driven by fractional Brownian motion
• Diffusion parameter estimation for the homogenized equation
• Coarse-grained modeling of multiscale diffusions: the p-variation estimates
• Semiparametric drift and diffusion estimation for multiscale diffusions
• Drift estimation of multiscale diffusions based on filtered data
• A new framework for extracting coarse-grained models from time series with multiscale structure
• Statistical inference for perturbed multiscale dynamical systems
• Statistical inference across time scales
• Parametric inference for discretely observed multidimensional diffusions with small diffusion coefficient
• Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering
• On a problem of statistical inference in null recurrent diffusions
• Optimal statistical inference for subdiffusion processes
• AIC type statistics for discretely observed ergodic diffusion processes
• Homogenization for stochastic reaction-diffusion equations with singular perturbation term
• Perturbation-based inference for diffusion processes: obtaining effective models from multiscale data
• Approximate discrete-time schemes for statistics of diffusion processes
• Stochastic gradient descent in continuous time for drift identification in multiscale diffusions
• Maximum likelihood estimation for small noise multiscale diffusions
• Discrete-time inference for slow-fast systems driven by fractional Brownian motion

This page was built for publication: Discrete-time statistical inference for multiscale diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4627436)