Statistical inference for perturbed multiscale dynamical systems

DOI10.1016/J.SPA.2016.06.013zbMATH Open1396.62189arXiv1504.07645OpenAlexW2963047439MaRDI QIDQ730344FDOQ730344

Authors: Siragan Gailus, Konstantinos Spiliopoulos 

Publication date: 27 December 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We study statistical inference for small-noise-perturbed multiscale dynamical systems. We prove consistency, asymptotic normality, and convergence of all scaled moments of an appropriately-constructed maximum likelihood estimator (MLE) for a parameter of interest, identifying precisely its limiting variance. We allow full dependence of coefficients on both slow and fast processes, which take values in the full Euclidean space; coefficients in the equation for the slow process need not be bounded and there is no assumption of periodic dependence. The results provide a theoretical basis for calibration of small-noise-perturbed multiscale dynamical systems. Data from numerical simulations are presented to illustrate the theory.

Full work available at URL: https://arxiv.org/abs/1504.07645

Recommendations

• Discrete-time statistical inference for multiscale diffusions
• Discrete-time inference for slow-fast systems driven by fractional Brownian motion
• Perturbation-based inference for diffusion processes: obtaining effective models from multiscale data
• Maximum likelihood estimation for small noise multiscale diffusions
• Consistency of maximum likelihood estimation for some dynamical systems

zbMATH Keywords

parameter estimationstochastic dynamical systemssmall noisemultiscale processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• A Tale of Two Time Scales
• Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model
• Title not available (Why is that?)
• Title not available (Why is that?)
• Small-time asymptotics for fast mean-reverting stochastic volatility models
• Title not available (Why is that?)
• On polynomial mixing bounds for stochastic differential equations
• On Poisson equation and diffusion approximation. II.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Multiscale Methods
• Title not available (Why is that?)
• Maximum likelihood drift estimation for multiscale diffusions
• On the Poisson equation and diffusion approximation. I
• Parameter estimation for multiscale diffusions
• An applied mathematics perspective on stochastic modelling for climate
• Adaptive sub-sampling for parametric estimation of Gaussian diffusions
• Sub-sampling and parametric estimation for multiscale dynamics
• Maximum likelihood estimation for small noise multiscale diffusions
• Semiparametric drift and diffusion estimation for multiscale diffusions
• On invariant density estimation for ergodic diffusion processes
• Large deviations inequalities for the maximum likelihood estimator and the Bayes estimators in nonlinear stochastic differential equations
• Cell Mechanics
• Fluctuation analysis and short time asymptotics for multiple scales diffusion processes

Cited In (15)

• Diffusion parameter estimation for the homogenized equation
• Title not available (Why is that?)
• Drift estimation of multiscale diffusions based on filtered data
• STATISTICAL SYNTHESIS OF A DYNAMICAL SYSTEM IN A FINITE-DIMENSIONAL SPACE
• Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering
• Simultaneous small noise limit for singularly perturbed slow-fast coupled diffusions
• Statistical inference for dynamical systems: a review
• Maximum likelihood estimation for small noise multi-scale McKean-Vlasov stochastic differential equations
• Perturbation-based inference for diffusion processes: obtaining effective models from multiscale data
• Quantitative fluctuation analysis of multiscale diffusion systems via Malliavin calculus
• Asymptotic inference for dynamical systems observed with error
• Stochastic gradient descent in continuous time for drift identification in multiscale diffusions
• Discrete-time statistical inference for multiscale diffusions
• Discrete-time inference for slow-fast systems driven by fractional Brownian motion
• Typical dynamics and fluctuation analysis of slow-fast systems driven by fractional Brownian motion

This page was built for publication: Statistical inference for perturbed multiscale dynamical systems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q730344)