A contrast estimator for completely or partially observed hypoelliptic diffusion

DOI10.1016/j.spa.2012.04.006zbMath1242.62092OpenAlexW1974204066MaRDI QIDQ432498

Michèle Thieullen, Adeline Samson

Publication date: 4 July 2012

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

Full work available at URL: https://doi.org/10.1016/j.spa.2012.04.006

zbMATH Keywords

stochastic differential equationspartial observationscontrast estimatorLangevin system

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) Diffusion processes (60J60)

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Hypoelliptic stochastic Fitzhugh-Nagumo neuronal model: mixing, up-crossing and estimation of the spike rate ⋮ Estimation for stochastic damping Hamiltonian systems under partial observation. III: Diffusion term ⋮ Estimation for stochastic damping Hamiltonian systems under partial observation. I: Invariant density ⋮ Adaptive estimation for stochastic damping Hamiltonian systems under partial observation ⋮ Estimation in the partially observed stochastic Morris-Lecar neuronal model with particle filter and stochastic approximation methods ⋮ Data-based stochastic model reduction for the Kuramoto-Sivashinsky equation ⋮ Consistency of a likelihood estimator for stochastic damping Hamiltonian systems. Totally observed data ⋮ Simulation of elliptic and hypo-elliptic conditional diffusions ⋮ Optimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equations ⋮ On maximum likelihood estimation of the drift matrix of a degenerated O-U process ⋮ Parametric inference for hypoelliptic ergodic diffusions with full observations ⋮ Adaptive estimation for degenerate diffusion processes ⋮ Optimal control for parameter estimation in partially observed hypoelliptic stochastic differential equations ⋮ Sampling, feasibility, and priors in data assimilation

Cites Work

• Estimation for diffusion processes from discrete observation
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• Parameter Estimation for a Discretely Observed Integrated Diffusion Process
• Approximate discrete-time schemes for statistics of diffusion processes
• Parameter Estimation for Partially Observed Hypoelliptic Diffusions
• Estimation of an Ergodic Diffusion from Discrete Observations
• Inference for Observations of Integrated Diffusion Processes
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