Statistical inference for perturbed multiscale dynamical systems

DOI10.1016/j.spa.2016.06.013zbMath1396.62189arXiv1504.07645OpenAlexW2963047439MaRDI QIDQ730344

Siragan Gailus, Konstantinos V. Spiliopoulos

Publication date: 27 December 2016

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

Full work available at URL: https://arxiv.org/abs/1504.07645

zbMATH Keywords

parameter estimationstochastic dynamical systemssmall noisemultiscale processes

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)

Related Items (8)

Drift estimation of multiscale diffusions based on filtered data ⋮ Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering ⋮ Discrete-Time Statistical Inference for Multiscale Diffusions ⋮ Discrete-Time Inference for Slow-Fast Systems Driven by Fractional Brownian Motion ⋮ Diffusion Parameter Estimation for the Homogenized Equation ⋮ Simultaneous small noise limit for singularly perturbed slow-fast coupled diffusions ⋮ Perturbation-based inference for diffusion processes: Obtaining effective models from multiscale data ⋮ Typical dynamics and fluctuation analysis of slow–fast systems driven by fractional Brownian motion

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