Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes

DOI10.1137/16M1085930zbMath1384.93148arXiv1607.06158MaRDI QIDQ4636358

Konstantinos V. Spiliopoulos, Andrew Papanicolaou

Publication date: 19 April 2018

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.06158

zbMATH Keywords

parameter estimation; homogenization; dimension reduction; filtering; data assimilation; multiscale diffusions

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

93E10: Estimation and detection in stochastic control theory

93C70: Time-scale analysis and singular perturbations in control/observation systems

62M07: Non-Markovian processes: hypothesis testing

62M86: Inference from stochastic processes and fuzziness