Parameter estimation for rough differential equations
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Abstract: We construct the "expected signature matching" estimator for differential equations driven by rough paths and we prove its consistency and asymptotic normality. We use it to estimate parameters of a diffusion and a fractional diffusions, that is, a differential equation driven by fractional Brownian motion.
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Cited in
(11)- Feature engineering with regularity structures
- Pathwise stability of likelihood estimators for diffusions via rough paths
- A topological approach to mapping space signatures
- A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise
- Parameter estimation and singularity of laws on the path space for SDEs driven by Rosenblatt processes
- Signature cumulants, ordered partitions, and independence of stochastic processes
- Nonparametric inference for fractional diffusion
- Kernels for sequentially ordered data
- Lévy area analysis and parameter estimation for fOU processes via non-geometric rough path theory
- Infinite-dimensional polynomial processes
- On inference for fractional differential equations
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