Perturbation-based inference for diffusion processes: obtaining effective models from multiscale data

DOI10.1142/S0218202518500434MaRDI QIDQ4961321zbMATH OpenOpenAlexWikidataFDO

Authors Sebastian Krumscheid

Publication date 26 October 2018

Published in M\(^3\)AS. Mathematical Models \& Methods in Applied Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1409.4685

zbMATH Keywords

consistencyconvergencestabilitystochastic differential equationparametric inferencecoarse-grainingperturbed observation

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical methods for inverse problems for integral equations (65R32)

Abstract: We consider the inference problem for parameters in stochastic differential equation models from discrete time observations (e.g. experimental or simulation data). Specifically, we study the case where one does not have access to observations of the model itself, but only to a perturbed version which converges weakly to the solution of the model. Motivated by this perturbation argument, we study the convergence of estimation procedures from a numerical analysis point of view. More precisely, we introduce appropriate consistency, stability, and convergence concepts and study their connection. It turns out that standard statistical techniques, such as the maximum likelihood estimator, are not convergent methodologies in this setting, since they fail to be stable. Due to this shortcoming, we introduce and analyse a novel inference procedure for parameters in stochastic differential equation models which turns out to be convergent. As such, the method is particularly suited for the estimation of parameters in effective (i.e. coarse-grained) models from observations of the corresponding multiscale process. We illustrate these theoretical findings via several numerical examples.

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Cited in

(5)

• Robust estimation of effective diffusions from multiscale data
• A new framework for extracting coarse-grained models from time series with multiscale structure
• Statistical inference for perturbed multiscale dynamical systems
• Statistical Learning of Nonlinear Stochastic Differential Equations from Nonstationary Time Series using Variational Clustering
• Beyond the model limit: parameter inference across scales

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