Adaptive sub-sampling for parametric estimation of Gaussian diffusions
From MaRDI portal
Publication:612016
DOI10.1007/s10955-010-9975-yzbMath1205.82112OpenAlexW2133787446MaRDI QIDQ612016
Robert Azencott, Arjun Beri, Ilya Timofeyev
Publication date: 3 January 2011
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10955-010-9975-y
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Related Items
Multiscale Modelling and Inverse Problems, An ensemble Kalman filter for statistical estimation of physics constrained nonlinear regression models, Maximum likelihood estimation for multiscale Ornstein–Uhlenbeck processes, Maximum likelihood estimation for small noise multiscale diffusions, Drift estimation of multiscale diffusions based on filtered data, Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering, Parametric estimation from approximate data: non-Gaussian diffusions, Parametric estimation of stationary stochastic processes under indirect observability, Discrete-Time Statistical Inference for Multiscale Diffusions, Discrete-Time Inference for Slow-Fast Systems Driven by Fractional Brownian Motion, Quantifying Truncation-Related Uncertainties in Unsteady Fluid Dynamics Reduced Order Models, A new framework for extracting coarse-grained models from time series with multiscale structure, Statistical inference for perturbed multiscale dynamical systems, Perturbation-based inference for diffusion processes: Obtaining effective models from multiscale data, Realised volatility and parametric estimation of Heston SDEs, Real-time estimation and prediction of unsteady flows using reduced-order models coupled with few measurements
Cites Work
- Unnamed Item
- Maximum likelihood drift estimation for multiscale diffusions
- Multiscale couplings in prototype hybrid deterministic/stochastic systems. I: Deterministic closures
- Stochastic description of traffic flow
- Optimal prediction with memory
- A priori tests of a stochastic mode reduction strategy
- Parameter estimation for multiscale diffusions
- Multiscale couplings in prototype hybrid deterministic/stochastic systems. II: stochastic closures
- Unresolved computation and optimal predictions
- Optimal prediction and the Mori–Zwanzig representation of irreversible processes
- An Averaging Principle for Fast Degrees of Freedom Exhibiting Long-Term Correlations
- A mathematical framework for stochastic climate models
- Intermittency, metastability and coarse graining for coupled deterministic–stochastic lattice systems
- Stochastic models for selected slow variables in large deterministic systems
- Automated Model Reduction for Complex Systems Exhibiting Metastability
