Maximum likelihood estimation for small noise multiscale diffusions
Statistics Theory
2015-02-20 v4 Probability
Statistics Theory
Abstract
We study the problem of parameter estimation for stochastic differential equations with small noise and fast oscillating parameters. Depending on how fast the intensity of the noise goes to zero relative to the homogenization parameter, we consider three different regimes. For each regime, we construct the maximum likelihood estimator and we study its consistency and asymptotic normality properties. A simulation study for the first order Langevin equation with a two scale potential is also provided.
Cite
@article{arxiv.1301.6413,
title = {Maximum likelihood estimation for small noise multiscale diffusions},
author = {Konstantinos Spiliopoulos and Alexandra Chronopoulou},
journal= {arXiv preprint arXiv:1301.6413},
year = {2015}
}