Parameter estimation for multiscale diffusions: an overview

DOI10.1201/B12126-8MaRDI QIDQ4913201zbMATH OpenOpenAlexFDO

Authors Yvo Pokern, G. A. Pavliotis, A. M. Stuart

Publication date 3 April 2013

Published in Statistical Methods for Stochastic Differential Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1201/b12126-8

Mathematics Subject Classification ID

Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(12)

• Map estimation of diffusions -- an updated account
• Sub-sampling and parametric estimation for multiscale dynamics
• Perturbation-based inference for diffusion processes: obtaining effective models from multiscale data
• Diffusion parameter estimation for the homogenized equation
• Learning about structural errors in models of complex dynamical systems
• Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering
• A multi-parameter regularization approach for estimating parameters in jump diffusion processes
• Parameter estimation for multiscale diffusions
• Fitting Effective Diffusion Models to Data Associated with a “Glassy" Potential: Estimation, Classical Inference Procedures, and Some Heuristics
• Beyond the model limit: parameter inference across scales
• Drift estimation of multiscale diffusions based on filtered data
• Stochastic gradient descent in continuous time for drift identification in multiscale diffusions

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