Parameter estimation for rough differential equations
From MaRDI portal
Publication:651024
DOI10.1214/11-AOS893zbMath1230.62109arXiv0812.3102OpenAlexW3101563084MaRDI QIDQ651024
Christophe Ladroue, Anastasia Papavasiliou
Publication date: 8 December 2011
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0812.3102
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes (62M99)
Related Items
On inference for fractional differential equations, Feature engineering with regularity structures, Signature cumulants, ordered partitions, and independence of stochastic processes, Nonparametric inference for fractional diffusion, A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise, Infinite-dimensional polynomial processes, Kernels for sequentially ordered data
Cites Work
- Unnamed Item
- Unnamed Item
- Large Sample Properties of Generalized Method of Moments Estimators
- An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions
- A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
- Ergodicity of hypoelliptic SDEs driven by fractional Brownian motion
- Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
- Parameter estimation for fractional Ornstein-Uhlenbeck processes
- Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
- Stochastic calculus for fractional Brownian motion with Hurst exponent \(H>\frac 1 4 \): A rough path method by analytic extension
- Delay equations driven by rough paths
- Exponential families of stochastic processes
- Statistical inference for ergodic diffusion processes.
- Nonparametric estimation of scalar diffusions based on low frequency data
- Adaptive estimation for affine stochastic delay differential equations
- Parameter estimation in stochastic differential equations.
- Approximating some Volterra type stochastic integrals with applications to parameter estimation.
- Statistical aspects of the fractional stochastic calculus
- Coarse-Grained Modeling of Multiscale Diffusions: The p-Variation Estimates
- Multidimensional Stochastic Processes as Rough Paths
- Fitting Effective Diffusion Models to Data Associated with a “Glassy" Potential: Estimation, Classical Inference Procedures, and Some Heuristics
- System Control and Rough Paths
- Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
- Deciding the Nature of the Coarse Equation through Microscopic Simulations: The Baby-Bathwater Scheme
