Optimal statistical inference for subdiffusion processes

DOI10.1088/1751-8121/AB0769MaRDI QIDQ5052738zbMATH OpenOpenAlexWikidataFDO

Authors Sean Carnaffan, Reiichiro Kawai

Publication date 25 November 2022

Published in Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/1751-8121/ab0769

zbMATH Keywords

anomalous diffusionFisher informationinverse subordinatorsstatistical inferencesubdiffusion

Mathematics Subject Classification ID

Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50) Statistical aspects of information-theoretic topics (62B10) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Measures of information, entropy (94A17)

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Cites work

• Asymptotics in statistics. Some basic concepts.
• Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times
• Cusping, transport and variance of solutions to generalized Fokker–Planck equations
• Fisher information for fractional Brownian motion under high-frequency discrete sampling
• Fisher's Information for Discretely Sampled Lvy Processes
• Fokker-Planck-Kolmogorov equations associated with time-changed fractional Brownian motion
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Lagging and leading coupled continuous time random walks, renewal times and their joint limits
• Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling
• Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling
• On singularity of Fisher information matrix for stochastic processes under high frequency sampling
• On the likelihood function of small time variance Gamma Lévy processes
• Stochastic representation of subdiffusion processes with time-dependent drift
• The random walk's guide to anomalous diffusion: A fractional dynamics approach

Cited in

(4)

• scientific article; zbMATH DE number 4153745 (Why is no real title available?)
• Asymptotic degeneracy and subdiffusivity
• ANOMALOUS DIFFUSION PROCESSES: STOCHASTIC MODELS AND THEIR PROPERTIES
• Time-squeezing and time-expanding transformations in harmonic force fields

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