相关论文: Parameter Estimation for Multiscale Diffusions

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…

Fitting a simplifying model with several parameters to real data of complex objects is a highly nontrivial task, but enables the possibility to get insights into the objects physics. Here, we present a method to infer the parameters of the…

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…

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…

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 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…

Parameter inference is a fundamental problem in data-driven modeling. Given observed data that is believed to be a realization of some parameterized model, the aim is to find parameter values that are able to explain the observed data. In…

In many applications it is desirable to infer coarse-grained models from observational data. The observed process often corresponds only to a few selected degrees of freedom of a high-dimensional dynamical system with multiple time scales.…

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…

Suppose data are fitted to some parametric model but that the true model happens to be one with an additional parameter. When a parameter is to be estimated one can use likelihood estimation in the wider model or in the narrow model.…

We discuss the problem of parameter estimation in nonlinear stochastic differential equations based on sampled time series. A central message from the theory of integrating stochastic differential equations is that there exists in general…

In this work, we consider the problem of estimating the parameters of polynomially damped sinusoidal signals, commonly encountered in, for instance, spectroscopy. Generally, finding the parameter values of such signals constitutes a…

Over the past decades, linear mixed models have attracted considerable attention in various fields of applied statistics. They are popular whenever clustered, hierarchical or longitudinal data are investigated. Nonetheless, statistical…

The purpose of this paper is to propose methodologies for statistical inference of low-dimensional parameters with high-dimensional data. We focus on constructing confidence intervals for individual coefficients and linear combinations of…

The success of large-scale models in recent years has increased the importance of statistical models with numerous parameters. Several studies have analyzed over-parameterized linear models with high-dimensional data, which may not be…

In this paper, a methodology for fine scale modeling of large scale structures is proposed, which combines the variational multiscale method, domain decomposition and model order reduction. The influence of the fine scale on the coarse…

We want to reconstruct a signal based on inhomogeneous data (the amount of data can vary strongly), using the model of regression with a random design. Our aim is to understand the consequences of inhomogeneity on the accuracy of estimation…

We consider high-dimensional estimation problems where the number of parameters diverges with the sample size. General conditions are established for consistency, uniqueness, and asymptotic normality in both unpenalized and penalized…

To estimate accurately the parameters of a regression model, the sample size must be large enough relative to the number of possible predictors for the model. In practice, sufficient data is often lacking, which can lead to overfitting of…

For the last years, time-series mining has become a challenging issue for researchers. An important application lies in most monitoring purposes, which require analyzing large sets of time-series for learning usual patterns. Any deviation…