Maximum likelihood estimation of drift and diffusion functions

DOI10.1016/J.PHYSLETA.2007.03.082MaRDI QIDQ715882zbMATH OpenOpenAlexWikidataFDO

Authors 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

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

Abstract: The maximum likelihood approach is adapted to the problem of estimation of drift and diffusion functions of stochastic processes from measured time series. We reconcile a previously devised iterative procedure [Kleinhans et al., Physics Letters A (346), 2005] and put the application of the method on a firm theoretical basis.

Recommendations

• Approximate maximum likelihood estimation for diffusion processes from discrete observations
• scientific article; zbMATH DE number 758455
• scientific article; zbMATH DE number 813752
• Remarks on drift estimation for diffusion processes
• scientific article; zbMATH DE number 4106076

Cites work

• scientific article; zbMATH DE number 3947392 (Why is no real title available?)
• scientific article; zbMATH DE number 3699894 (Why is no real title available?)
• scientific article; zbMATH DE number 274399 (Why is no real title available?)
• scientific article; zbMATH DE number 3241743 (Why is no real title available?)
• A new technique for simulating the likelihood of stochastic differential equations
• An iterative procedure for the estimation of drift and diffusion coefficients of langevin processes
• Analysis of data sets of stochastic systems
• Handbook of stochastic methods for physics, chemistry and natural sciences.
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations*
• Reconstruction of dynamical equations for traffic flow
• Self-Organization and Information
• The Fokker-Planck equation. Methods of solution and applications.

Cited in

(18)

• Data-driven reconstruction of stochastic dynamical equations based on statistical moments
• One-shot learning of stochastic differential equations with data adapted kernels
• On distributions of functionals of anomalous diffusion paths
• Bi-SOC-states in one-dimensional random cellular automaton
• A stochastic solution with Gaussian stationary increments of the symmetric space-time fractional diffusion equation
• Reconstruction of the modified discrete Langevin equation from persistent time series
• An iterative procedure for the estimation of drift and diffusion coefficients of langevin processes
• On dynamics of the maximum likelihood states in nonequilibrium systems
• Simulation of branching random walks on a multidimensional lattice
• Parameter estimation for multivariate diffusion systems
• Remarks on drift estimation for diffusion processes
• Moments for tempered fractional advection-diffusion equations
• On the fractional Poisson process and the discretized stable subordinator
• Semiparametric maximum likelihood reconstruction of stochastic differential equations driven by white and correlated noise
• scientific article; zbMATH DE number 4106076 (Why is no real title available?)
• Finite sampling interval effects in Kramers-Moyal analysis
• Stochastic modelling of a noise-driven global instability in a turbulent swirling jet
• Variable bandwidth local maximum likelihood type estimation for diffusion processes

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

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q715882)