A parameter estimation method using linear response statistics

DOI10.1007/S10955-017-1788-9MaRDI QIDQ2410071zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 17 October 2017

Published in Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1612.01869

zbMATH Keywords

fluctuation-dissipation theorylinear responseparameter estimation

Mathematics Subject Classification ID

Stochastic approximation (62L20) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Abstract: This paper presents a new parameter estimation method for It^{o} diffusions such that the resulting model predicts the equilibrium statistics as well as the sensitivities of the underlying system to external disturbances. Our formulation does not require the knowledge of the underlying system, however we assume that the linear response statistics can be computed via the fluctuation-dissipation theory. The main idea is to fit the model to a finite set of "essential" statistics that is sufficient to approximate the linear response operators. In a series of test problems, we will show the consistency of the proposed method in the sense that if we apply it to estimate the parameters in the underlying model, then we must obtain the true parameters.

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Cited in

(5)

• Error bounds of the invariant statistics in machine learning of ergodic Itô diffusions
• Linear response based parameter estimation in the presence of model error
• scientific article; zbMATH DE number 4178736 (Why is no real title available?)
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