Adaptive sub-sampling for parametric estimation of Gaussian diffusions

DOI10.1007/s10955-010-9975-yzbMath1205.82112OpenAlexW2133787446MaRDI QIDQ612016

Robert Azencott, Arjun Beri, Ilya Timofeyev

Publication date: 3 January 2011

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10955-010-9975-y

zbMATH Keywords

stochastic differential equationssub-samplingparametric estimation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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