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Coarsegrained modeling of multiscale diffusions : the pvariation estimates
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Papavasiliou, Anastasia (2010) Coarsegrained modeling of multiscale diffusions : the pvariation estimates. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. (Working papers).

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Abstract
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 pvariation, as defined in [11] 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 
Date:  2010 
Volume:  Vol.2010 
Number:  No.5 
Number of Pages:  18 
Status:  Not Peer Reviewed 
Access rights to Published version:  Open Access 
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URI:  http://wrap.warwick.ac.uk/id/eprint/35070 
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