A parameter estimation method based on random slow manifolds
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Publication:2009937
Abstract: A parameter estimation method is devised for a slow-fast stochastic dynamical system, where often only the slow component is observable. By using the observations only on the slow component, the system parameters are estimated by working on the slow system on the random slow manifold. This offers a benefit of dimension reduction in quantifying parameters in stochastic dynamical systems. An example is presented to illustrate this method, and verify that the parameter estimator based on the lower dimensional, reduced slow system is a good approximation of the parameter estimator for original slow-fast stochastic dynamical system.
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Cited in
(10)- Slow manifold and parameter estimation for a nonlocal fast-slow dynamical system with Brownian motion
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- Data assimilation and parameter estimation for a multiscale stochastic system with \(\alpha \)-stable Lévy noise
- Effective filtering on a random slow manifold
- Parameter estimation via homogenization for stochastic dynamical systems with oscillating coefficients
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