Sub-sampling and parametric estimation for multiscale dynamics

DOI10.4310/CMS.2013.V11.N4.A3MaRDI QIDQ2446521zbMATH OpenFDO

Authors Robert Azencott, Arjun Beri, Ankita Jain, Ilya Timofeyev

Publication date 17 April 2014

Published in Communications in Mathematical Sciences (Search for Journal in Brave)

zbMATH Keywords

parametric estimationsub-samplingstochastic differential equations

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(20)

• Realised volatility and parametric estimation of Heston SDEs
• Parameter estimation for multiscale diffusions
• Drift estimation of multiscale diffusions based on filtered data
• Discovery of Nonlinear Multiscale Systems: Sampling Strategies and Embeddings
• Maximum likelihood estimation for multiscale Ornstein-Uhlenbeck processes
• Parametric estimation from approximate data: non-Gaussian diffusions
• Statistical inference for perturbed multiscale dynamical systems
• A transformation approach to modelling multi-modal diffusions
• Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering
• Parameter estimation for multiscale diffusions: an overview
• Perturbation-based inference for diffusion processes: obtaining effective models from multiscale data
• Parametric estimation of stationary stochastic processes under indirect observability
• Adaptive sub-sampling for parametric estimation of Gaussian diffusions
• Stochastic gradient descent in continuous time for drift identification in multiscale diffusions
• Discrete-time statistical inference for multiscale diffusions
• Maximum likelihood estimation for small noise multiscale diffusions
• Accelerating inference for diffusions observed with measurement error and large sample sizes using approximate Bayesian computation
• Quantifying truncation-related uncertainties in unsteady fluid dynamics reduced order models
• Real-time estimation and prediction of unsteady flows using reduced-order models coupled with few measurements
• Discrete-time inference for slow-fast systems driven by fractional Brownian motion

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