Adaptive sub-sampling for parametric estimation of Gaussian diffusions
DOI10.1007/S10955-010-9975-YzbMATH Open1205.82112OpenAlexW2133787446MaRDI QIDQ612016FDOQ612016
Authors: 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
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Cited In (20)
- Realised volatility and parametric estimation of Heston SDEs
- Drift estimation of multiscale diffusions based on filtered data
- Maximum likelihood estimation for multiscale Ornstein-Uhlenbeck processes
- Parametric estimation from approximate data: non-Gaussian diffusions
- Sub-sampling and parametric estimation for multiscale dynamics
- A new framework for extracting coarse-grained models from time series with multiscale structure
- Statistical inference for perturbed multiscale dynamical systems
- Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering
- Notes on estimating inverse-Gaussian and gamma subordinators under high-frequency sampling
- Multiscale modelling and inverse problems
- Perturbation-based inference for diffusion processes: obtaining effective models from multiscale data
- Parametric estimation of stationary stochastic processes under indirect observability
- An ensemble Kalman filter for statistical estimation of physics constrained nonlinear regression models
- Stochastic gradient descent in continuous time for drift identification in multiscale diffusions
- Adaptive estimation of an ergodic diffusion process based on sampled data
- Discrete-time statistical inference for multiscale diffusions
- Quantifying truncation-related uncertainties in unsteady fluid dynamics reduced order models
- Maximum likelihood estimation for small noise multiscale diffusions
- Real-time estimation and prediction of unsteady flows using reduced-order models coupled with few measurements
- Discrete-time inference for slow-fast systems driven by fractional Brownian motion
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