Coarse-grained modeling of multiscale diffusions: the p-variation estimates

DOI10.1007/978-3-642-15358-7_8zbMATH Open1222.62104arXiv1002.3241OpenAlexW1926235534MaRDI QIDQ3015682FDOQ3015682

Authors: Anastasia Papavasiliou 

Publication date: 13 July 2011

Published in: Stochastic Analysis 2010 (Search for Journal in Brave)

Abstract: We study the problem of estimating parameters of the limiting equation of a multiscale diffusion in the case of averaging and homogenization, given data from the corresponding multiscale system. First, we review some recent results that make use of the maximum likelihood of the limiting equation. In particular, it has been shown that in the averaging case, the MLE will be asymptotically consistent in the limit while in the homogenization case, the MLE will be asymptotically consistent only if we subsample the data. Then, we focus on the problem of estimating the diffusion coefficient. We suggest a novel approach that makes use of the total $p$-variation, as defined in the theory of rough paths and avoids the subsampling step. The method is applied to a multiscale OU process.

Full work available at URL: https://arxiv.org/abs/1002.3241

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zbMATH Keywords

multiscale Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Cited In (9)

• Diffusion parameter estimation for the homogenized equation
• Parameter estimation for multiscale diffusions
• Robust estimation of effective diffusions from multiscale data
• Maximum likelihood estimation for multiscale Ornstein-Uhlenbeck processes
• Maximum likelihood drift estimation for multiscale diffusions
• A new framework for extracting coarse-grained models from time series with multiscale structure
• Diffusion estimation from multiscale data by operator eigenpairs
• Parameter estimation for rough differential equations
• Maximum likelihood estimation for small noise multiscale diffusions

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