A Minimum Distance Estimator Approach for Misspecified Ergodic Processes
Methodology
2025-06-17 v1 Probability
Computation
Abstract
We propose a minimum distance estimator (MDE) for parameter identification in misspecified models characterized by a sequence of ergodic stochastic processes that converge weakly to the model of interest. The data is generated by the sequence of processes, and we are interested in inferring parameters for the limiting processes. We define a general statistical setting for parameter estimation under such model misspecification and prove the robustness of the MDE. Furthermore, we prove the asymptotic normality of the MDE for multiscale diffusion processes with a well-defined homogenized limit. A tractable numerical implementation of the MDE is provided and realized in the programming language Julia.
Keywords
Cite
@article{arxiv.2506.12432,
title = {A Minimum Distance Estimator Approach for Misspecified Ergodic Processes},
author = {Jaroslav I. Borodavka and Sebastian Krumscheid and Grigorios A. Pavliotis},
journal= {arXiv preprint arXiv:2506.12432},
year = {2025}
}
Comments
29 pages