Statistical inference for dynamical systems: a review

DOI10.1214/15-SS111zbMATH Open1327.62458arXiv1204.6265OpenAlexW1808775778MaRDI QIDQ895009FDOQ895009

Authors: Kevin McGoff, Sayan Mukherjee, Natesh S. Pillai 

Publication date: 25 November 2015

Published in: Statistics Surveys (Search for Journal in Brave)

Abstract: The topic of statistical inference for dynamical systems has been studied extensively across several fields. In this survey we focus on the problem of parameter estimation for non-linear dynamical systems. Our objective is to place results across distinct disciplines in a common setting and highlight opportunities for further research.

Full work available at URL: https://arxiv.org/abs/1204.6265

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• scientific article; zbMATH DE number 7660132

zbMATH Keywords

parameter estimationconsistencydynamical systemsergodic theory

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Signal detection and filtering (aspects of stochastic processes) (60G35) Dynamical systems and their relations with probability theory and stochastic processes (37A50)

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• STATISTICAL SYNTHESIS OF A DYNAMICAL SYSTEM IN A FINITE-DIMENSIONAL SPACE
• Optimal Transport for Parameter Identification of Chaotic Dynamics via Invariant Measures
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• Toward a mathematical theory of trajectory inference

Uses Software

• EnKF
• sde

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