Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions

DOI10.1007/s11222-022-10081-7zbMath1484.62001arXiv2104.10587OpenAlexW3154183989MaRDI QIDQ2128080

Grigorios A. Pavliotis, Andrea Zanoni, Assyr Abdulle

Publication date: 21 April 2022

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2104.10587

zbMATH Keywords

parameter estimationeigenvalue problemhomogenizationdiffusion processfilteringdiscrete observationsLangevin dynamicsmartingale estimators

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Eigenfunction Martingale Estimators for Interacting Particle Systems and Their Mean Field Limit

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