Name
Title | ||
|---|---|---|
Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions |
Abstract | ||
|---|---|---|
We propose a novel method for drift estimation of multiscale diffusion processes when a sequence of discrete observations is given. For the Langevin dynamics in a two-scale potential, our approach relies on the eigenvalues and the eigenfunctions of the homogenized dynamics. Our first estimator is derived from a martingale estimating function of the generator of the homogenized diffusion process. However, the unbiasedness of the estimator depends on the rate with which the observations are sampled. We therefore introduce a second estimator which relies also on filtering the data, and we prove that it is asymptotically unbiased independently of the sampling rate. A series of numerical experiments illustrate the reliability and efficiency of our different estimators. |
Year | DOI | Venue |
|---|---|---|
2022 | 10.1007/s11222-022-10081-7 | Statistics and Computing |
Keywords | DocType | Volume |
Langevin dynamics, Diffusion process, Homogenization, Parameter estimation, Discrete observations, Eigenvalue problem, Filtering, Martingale estimators, 62F15, 65C30, 62M05, 74Q10, 35B27, 60J60, 76M50 | Journal | 32 |
Issue | ISSN | Citations |
2 | 0960-3174 | 1 |
PageRank | References | Authors |
0.41 | 9 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Assyr Abdulle | 1 | 1 | 0.41 |
| Grigorios A. Pavliotis | 2 | 9 | 3.67 |
| Andrea Zanoni | 3 | 1 | 0.41 |