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

zbMATH Keywords

Gaussian processesadaptive sub-samplingempirical covariance estimatorsindirect observabilitynon vanishing lags

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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Cites Work

• scientific article; zbMATH DE number 3954108 (Why is no real title available?)
• A Tale of Two Time Scales
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A priori tests of a stochastic mode reduction strategy
• Adaptive sub-sampling for parametric estimation of Gaussian diffusions
• Diffusion estimation from multiscale data by operator eigenpairs
• How often to sample a continuous-time process in the presence of market microstructure noise
• Maximum likelihood drift estimation for multiscale diffusions
• Molecular conformation dynamics and computational drug design
• 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

Cited In (10)

• Realised volatility and parametric estimation of Heston SDEs
• 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
• Sub-sampling and parametric estimation for multiscale dynamics
• A new framework for extracting coarse-grained models from time series with multiscale structure
• Perturbation-based inference for diffusion processes: obtaining effective models from multiscale data
• Adaptive sub-sampling for parametric estimation of Gaussian diffusions
• Title not available (Why is no real title available?)
• Title not available (Why is no real title available?)

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