Coarse-grained modeling of multiscale diffusions : the p-variation estimates
Papavasiliou, Anastasia (2010) Coarse-grained modeling of multiscale diffusions : the p-variation estimates. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. (Working papers, Vol.2010).
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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 make use of the maximum likelihood of the limiting equation. In particular, it has been shown that in the averaging case, the MLE will be asymptotically consistent in the limit while in the homogenization case, the MLE will be asymptotically consistent only if we subsample the data. Then, we focus on the problem of estimating the diffusion coefficient. We suggest a novel approach that makes use of the total p-variation, as defined in  and avoids the subsampling step. The method is applied to a multiscale OU process.
|Item Type:||Working or Discussion Paper (Working Paper)|
|Subjects:||Q Science > QA Mathematics|
|Divisions:||Faculty of Science > Statistics|
|Library of Congress Subject Headings (LCSH):||Parameter estimation, Multiscale modeling|
|Series Name:||Working papers|
|Publisher:||University of Warwick. Centre for Research in Statistical Methodology|
|Place of Publication:||Coventry|
|Number of Pages:||18|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
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