Related papers: Diffusion Parameter Estimation for the Homogenized…
Parametric estimation for diffusion processes is considered for high frequency observations over a fixed time interval. The processes solve stochastic differential equations with an unknown parameter in the diffusion coefficient. We find…
We study the problem of estimating parameters of the limiting equation of a multiscale diffusion in the case of averaging and homogenization, given data from the corresponding multiscale system. First, we review some recent results that…
We consider the problem of statistical inference for the effective dynamics of multiscale diffusion processes with (at least) two widely separated characteristic time scales. More precisely, we seek to determine parameters in the effective…
We study the problem of parameter estimation for time-series possessing two, widely separated, characteristic time scales. The aim is to understand situations where it is desirable to fit a homogenized singlescale model to such multiscale…
The behavior of slow-fast diffusions as the separation of scale diverges is a well-studied problem in the literature. In this short paper, we revisit this problem and obtain a new proof of existing strong quantitative convergence estimates…
We study the problem of parameter estimation using maximum likelihood for fast/slow systems of stochastic differential equations. Our aim is to shed light on the problem of model/data mismatch at small scales. We consider two classes of…
In this article we consider the estimation of static parameters for partially observed diffusion processes with discrete-time observations over a fixed time interval. In particular, when one only has access to time-discretized solutions of…
In this paper, we study the diffusion approximation for singularly perturbed stochastic reaction-diffusion equation with a fast oscillating term. The asymptotic limit for the original system is obtained, where an extra Gaussian term…
In this work, we consider the numerical solution of an initial boundary value problem for the distributed order time fractional diffusion equation. The model arises in the mathematical modeling of ultra-slow diffusion processes observed in…
We study the problem of drift estimation for two-scale continuous time series. We set ourselves in the framework of overdamped Langevin equations, for which a single-scale surrogate homogenized equation exists. In this setting, estimating…
In this article we consider the estimation of static parameters for partially observed diffusion process with discrete-time observations over a fixed time interval. In particular, we assume that one must time-discretize the partially…
We study nonparametric estimation of the diffusion coefficient from discrete data, when the observations are blurred by additional noise. Such issues have been developed over the last 10 years in several application fields and in particular…
We study the problem of parameter estimation for a univariate discretely observed ergodic diffusion process given as a solution to a stochastic differential equation. The estimation procedure we propose consists of two steps. In the first…
This paper deals with the problem of outliers in high frequency observation data from diffusion processes. Robust estimation methods are needed because the inclusion of outliers can lead to incorrect statistical inference even in the…
We will focus on estimating the integrated covariance of two diffusion processes observed in a nonsynchronous manner. The observation data is contaminated by some noise, which is possibly correlated with the returns of the diffusion…
We consider a simple mean reverting diffusion process, with piecewise constant drift and diffusion coefficients, discontinuous at a fixed threshold. We discuss estimation of drift and diffusion parameters from discrete observations of the…
We consider a nonparametric Bayesian approach to estimate the diffusion coefficient of a stochastic differential equation given discrete time observations over a fixed time interval. As a prior on the diffusion coefficient, we employ a…
We study the effective estimation of the diffusivity and Hurst parameter for the homogenized limit of a class of slow/fast systems. Depending on the system parameters, this limit solves a stochastic differential equation driven by either a…
For a one dimensional diffusion process $X=\{X(t) ; 0\leq t \leq T \}$, we suppose that $X(t)$ is hidden if it is below some fixed and known threshold $\tau$, but otherwise it is visible. This means a partially hidden diffusion process. The…
Score-based diffusion models, while achieving minimax optimality for sampling, are often hampered by slow sampling speeds due to the high computational burden of score function evaluations. Despite the recent remarkable empirical advances…