Parametric estimation of stationary stochastic processes under indirect observability
DOI10.1007/S10955-011-0253-4zbMATH Open1225.82044OpenAlexW1988886356MaRDI QIDQ637529FDOQ637529
Authors: Robert Azencott, Arjun Beri, Ilya Timofeyev 
Publication date: 6 September 2011
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10955-011-0253-4
Recommendations
- Parametric estimation from approximate data: non-Gaussian diffusions
- On parameter estimation from indirect observations
- Non-parametric estimation of stochastic differential equations from stationary time-series
- Sub-sampling and parametric estimation for multiscale dynamics
- Adaptive sub-sampling for parametric estimation of Gaussian diffusions
Gaussian processesadaptive sub-samplingempirical covariance estimatorsindirect observabilitynon vanishing lags
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)
Cites Work
- A Tale of Two Time Scales
- Title not available (Why is that?)
- How often to sample a continuous-time process in the presence of market microstructure noise
- Maximum likelihood drift estimation for multiscale diffusions
- A priori tests of a stochastic mode reduction strategy
- Parameter estimation for multiscale diffusions
- Reduction of deterministic coupled atmosphere–ocean models to stochastic ocean models: a numerical case study of the Lorenz–Maas system
- Adaptive sub-sampling for parametric estimation of Gaussian diffusions
- Diffusion estimation from multiscale data by operator eigenpairs
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Molecular conformation dynamics and computational drug design
Cited In (9)
- Realised volatility and parametric estimation of Heston SDEs
- Perturbation-based inference for diffusion processes: Obtaining effective models from multiscale data
- Parameter estimation and diagnostic tests for INMA(1) processes
- Estimation of parameters for Hilbert space-valued partially observable stochastic processes
- Parametric estimation from approximate data: non-Gaussian diffusions
- A new framework for extracting coarse-grained models from time series with multiscale structure
- Adaptive sub-sampling for parametric estimation of Gaussian diffusions
- Title not available (Why is that?)
- Title not available (Why is that?)
This page was built for publication: Parametric estimation of stationary stochastic processes under indirect observability
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q637529)
