Parametric inference for discretely observed multidimensional diffusions with small diffusion coefficient
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Abstract: We consider a multidimensional diffusion X with drift coefficient b({alpha},X(t)) and diffusion coefficient {epsilon}{sigma}({�eta},X(t)). The diffusion is discretely observed at times t_k=k{Delta} for k=1..n on a fixed interval [0,T]. We study minimum contrast estimators derived from the Gaussian process approximating X for small {epsilon}. We obtain consistent and asymptotically normal estimators of {alpha} for fixed {Delta} and {epsilon}
ightarrow0 and of ({alpha},{�eta}) for {Delta}
ightarrow0 and {epsilon}
ightarrow0. We compare the estimators obtained with various methods and for various magnitudes of {Delta} and {epsilon} based on simulation studies. Finally, we investigate the interest of using such methods in an epidemiological framework.
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- Discrete-time statistical inference for multiscale diffusions
- Central limit theorems of range-based estimators for diffusion models
- Parametric inference for small variance and long time horizon McKean-Vlasov diffusion models
- Least squares estimation for the Ornstein-Uhlenbeck process with small Hermite noise
- Estimation for stochastic differential equations with a small diffusion coefficient
- Inference for partially observed epidemic dynamics guided by Kalman filtering techniques
- Discrete-time inference for slow-fast systems driven by fractional Brownian motion
- Parameter estimation for a linear parabolic SPDE model in two space dimensions with a small noise
- On penalized estimation for dynamical systems with small noise
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