Reconstruction of diffusion using spectral data from time series

DOI10.4310/CMS.2006.v4.n3.a9zbMath1108.62086MaRDI QIDQ864092

Daan Crommelin, Eric Vanden-Eijnden

Publication date: 12 February 2007

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

zbMATH Keywords

generatorstochastic differential equationparameter estimationMarkov chainstime seriesdiffusion processmodel identificationeigenspectrumreference spectrum

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical analysis or methods applied to Markov chains (65C40) Diffusion processes (60J60)

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