Remarks on drift estimation for diffusion processes

DOI10.1137/070694806MaRDI QIDQ3549899zbMATH OpenOpenAlexFDO

Authors Yvo Pokern, Eric Vanden-Eijnden, A. M. Stuart

Publication date 30 March 2010

Published in Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL https://resolver.caltech.edu/CaltechAUTHORS:20160805-152349945

zbMATH Keywords

diffusion processLangevin equationmaximum likelihood principleminimum distance estimatormolecular dynamicsnonparametric estimationparameter estimationreversible diffusion process

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(13)

• A note on estimating drift and diffusion parameters from time series
• An iterative procedure for the estimation of drift and diffusion coefficients of langevin processes
• Drift estimation on non compact support for diffusion models
• Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions
• Drift estimation of multiscale diffusions based on filtered data
• Stochastic modeling and simulation of ion transport through channels
• Estimation of the drift for diffusion process
• Estimation du paramètre de dérive d'une diffusion sous des conditions d'irrégularité de la dérive
• Variational Inference for Stochastic Differential Equations
• The normal approximation rate for the drift estimator of multidimensional diffusions
• Reconstructing free energy profiles from nonequilibrium relaxation trajectories
• A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence
• Maximum likelihood estimation of drift and diffusion functions

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