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Parameter estimation for rough differential equations (Q651024)

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Language	Label	Description	Also known as
English	Parameter estimation for rough differential equations	scientific article

Statements

scholarly article

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Parameter estimation for rough differential equations (English)

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Anastasia Papavasiliou

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Christophe Ladroue

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The Annals of Statistics

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publication date

8 December 2011

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full work available at URL

https://arxiv.org/abs/0812.3102

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zbMATH Keywords

rough paths

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diffusions

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fractional diffusions

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generalized moment matching

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MaRDI profile type

MaRDI publication profile

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An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions

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Monte Carlo maximum likelihood estimation for discretely observed diffusion processes

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Parameter estimation in stochastic differential equations.

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Fitting Effective Diffusion Models to Data Associated with a “Glassy" Potential: Estimation, Classical Inference Procedures, and Some Heuristics

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A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion

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Multidimensional Stochastic Processes as Rough Paths

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Nonparametric estimation of scalar diffusions based on low frequency data

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Ergodicity of hypoelliptic SDEs driven by fractional Brownian motion

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Large Sample Properties of Generalized Method of Moments Estimators

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Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes

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Parameter estimation for fractional Ornstein-Uhlenbeck processes

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Approximating some Volterra type stochastic integrals with applications to parameter estimation.

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Exponential families of stochastic processes

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Statistical inference for ergodic diffusion processes.

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Deciding the Nature of the Coarse Equation through Microscopic Simulations: The Baby-Bathwater Scheme

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System Control and Rough Paths

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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.

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Delay equations driven by rough paths

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Coarse-Grained Modeling of Multiscale Diffusions: The p-Variation Estimates

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Adaptive estimation for affine stochastic delay differential equations

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Statistical aspects of the fractional stochastic calculus

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Stochastic calculus for fractional Brownian motion with Hurst exponent \(H>\frac 1 4 \): A rough path method by analytic extension

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Identifiers

zbMATH Open document ID

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10.1214/11-AOS893

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:651024

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