Parameter estimation for multiscale diffusions: an overview
DOI10.1201/B12126-8zbMATH Open1375.62022OpenAlexW3113318205MaRDI QIDQ4913201FDOQ4913201
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
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Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cited In (12)
- Map estimation of diffusions -- an updated account
- Diffusion parameter estimation for the homogenized equation
- A multi-parameter regularization approach for estimating parameters in jump diffusion processes
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- Sub-sampling and parametric estimation for multiscale dynamics
- Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering
- Fitting Effective Diffusion Models to Data Associated with a “Glassy" Potential: Estimation, Classical Inference Procedures, and Some Heuristics
- Perturbation-based inference for diffusion processes: obtaining effective models from multiscale data
- Beyond the model limit: parameter inference across scales
- Stochastic gradient descent in continuous time for drift identification in multiscale diffusions
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