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Parameter estimation for multiscale diffusions
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Pavliotis, G. A. and Stuart, A. M. (2007) Parameter estimation for multiscale diffusions. Journal of Statistical Physics, Vol.127 (No.4). pp. 741-781. doi:10.1007/s10955-007-9300-6 ISSN 0022-4715.
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Official URL: http://dx.doi.org/10.1007/s10955-007-9300-6
Abstract
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 single-scale model to such multiscale data. We demonstrate, numerically and analytically, that if the data is sampled too finely then the parameter fit will fail, in that the correct parameters in the homogenized model are not identified. We also show, numerically and analytically, that if the data is subsampled at an appropriate rate then it is possible to estimate the coefficients of the homogenized model correctly.
The ideas are studied in the context of thermally activated motion in a two-scale potential. However the ideas may be expected to transfer to other situations where it is desirable to fit an averaged or homogenized equation to multiscale data.
Item Type: | Journal Article | ||||
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Subjects: | Q Science > QC Physics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Mathematics | ||||
Journal or Publication Title: | Journal of Statistical Physics | ||||
Publisher: | Springer New York LLC | ||||
ISSN: | 0022-4715 | ||||
Official Date: | May 2007 | ||||
Dates: |
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Volume: | Vol.127 | ||||
Number: | No.4 | ||||
Number of Pages: | 41 | ||||
Page Range: | pp. 741-781 | ||||
DOI: | 10.1007/s10955-007-9300-6 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
Data sourced from Thomson Reuters' Web of Knowledge
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