Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions
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Publication:2128080
diffusion processdiscrete observationseigenvalue problemfilteringhomogenizationLangevin dynamicsmartingale estimatorsparameter estimation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Computational methods for problems pertaining to statistics (62-08) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical solutions to stochastic differential and integral equations (65C30)
Abstract: We propose a novel method for drift estimation of multiscale diffusion processes when a sequence of discrete observations is given. For the Langevin dynamics in a two-scale potential, our approach relies on the eigenvalues and the eigenfunctions of the homogenized dynamics. Our first estimator is derived from a martingale estimating function of the generator of the homogenized diffusion process. However, the unbiasedness of the estimator depends on the rate with which the observations are sampled. We therefore introduce a second estimator which relies also on filtering the data and we prove that it is asymptotically unbiased independently of the sampling rate. A series of numerical experiments illustrate the reliability and efficiency of our different estimators.
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Cited in
(9)- Drift estimation for Brownian flows
- Drift estimation of multiscale diffusions based on filtered data
- Diffusion estimation from multiscale data by operator eigenpairs
- Eigenfunction Martingale Estimators for Interacting Particle Systems and Their Mean Field Limit
- Semiparametric drift and diffusion estimation for multiscale diffusions
- Robust estimation of effective diffusions from multiscale data
- Automated construction of effective potential via algorithmic implicit bias
- Stochastic gradient descent in continuous time for drift identification in multiscale diffusions
- Filtered data based estimators for stochastic processes driven by colored noise
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