Related papers: Consistency of MLE in partially observed diffusion…
In this article, we consider elliptic diffusion problems with an anisotropic random diffusion coefficient. We model the notable direction in terms of a random vector field and derive regularity results for the solution's dependence on the…
The self-diffusion coefficient of a granular gas in the homogeneous cooling state is analyzed near the shearing instability. Using mode-coupling theory, it is shown that the coefficient diverges logarithmically as the instability is…
Maximum likelihood estimation (MLE) methods are widely used for evolutionary tree. As evolutionary tree is not a smooth parameter, the consistency of its MLE has been a topic of debate. It has been noted without proof that the classical…
We study the weak error associated with the Euler scheme of non degenerate diffusion processes with non smooth bounded coefficients. Namely, we consider the cases of H{\"o}lder continuous coefficients as well as piecewise smooth drifts with…
We consider adaptive maximum-likelihood-type estimators and adaptive Bayes-type ones for discretely observed ergodic diffusion processes with observation noise whose variance is constant. The quasi-likelihood functions for the diffusion and…
We consider the inference problem for parameters in stochastic differential equation models from discrete time observations (e.g. experimental or simulation data). Specifically, we study the case where one does not have access to…
For a piecewise linear version of the periodic map with anomalous diffusion, the evolution of statistical averages of a class of observables with respect to piecewise constant initial densities is investigated and generalized eigenfunctions…
We investigate a single particle on a 3-dimensional, cubic lattice with a random on-site potential (3D Anderson model). We concretely address the question whether or not the dynamics of the particle is in full accord with the diffusion…
We study parametric inference for diffusion processes when observations occur nonsynchronously and are contaminated by market microstructure noise. We construct a quasi-likelihood function and study asymptotic mixed normality of…
We consider efficient estimation of the Euclidean parameters in a generalized partially linear additive models for longitudinal/clustered data when multiple covariates need to be modeled nonparametrically, and propose an estimation…
We construct a novel estimator for the diffusion coefficient of the limiting homogenized equation, when observing the slow dynamics of a multiscale model, in the case when the slow dynamics are of bounded variation. Previous research…
We develop a unified and easy to use framework to study robust fully discrete numerical methods for nonlinear degenerate diffusion equations $$ \partial_t u-\mathfrak{L}^{\sigma,\mu}[\varphi(u)]=f \quad\quad\text{in}\quad\quad…
Single-molecule localization microscopy allows practitioners to locate and track labeled molecules in biological systems. When extracting diffusion coefficients from the resulting trajectories, it is common practice to perform a linear fit…
Let a lattice gas of constant density, described by the symmetric simple exclusion process, be brought in contact with a "target": a spherical absorber of radius $R$. Employing the macroscopic fluctuation theory (MFT), we evaluate the…
Triangular distributions are a well-known class of distributions that are often used as an elementary example of a probability model. Maximum likelihood estimation of the mode parameter of the triangular distribution over the unit interval…
In this paper, we consider the filtering problem for partially observed diffusions, which are regularly observed at discrete times. We are concerned with the case when one must resort to time-discretization of the diffusion process if the…
A particle driven by deterministic chaos and moving in a spatially extended environment can exhibit normal diffusion, with its mean square displacement growing proportional to the time. Here we consider the dependence of the diffusion…
In this paper we consider two generalizations of Lancaster's (Review of Economic Studies, 2002) Modified Maximum Likelihood estimator (MMLE) for the panel AR(1) model with fixed effects, arbitrary initial conditions, and strictly exogenous…
This paper presents foundational theoretical results on distributed parameter estimation for undirected probabilistic graphical models. It introduces a general condition on composite likelihood decompositions of these models which…
The problem of identifying the diffusion parameter appearing in a nonlocal steady diffusion equation is considered. The identification problem is formulated as an optimal control problem having a matching functional as the objective of the…