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Coarse-grained modeling of multiscale diffusions : the p-variation estimates
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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 (No.5).
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Official URL: http://www2.warwick.ac.uk/fac/sci/statistics/crism...
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 p-variation, 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) | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > 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 | ||||
Official Date: | 2010 | ||||
Dates: |
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Volume: | Vol.2010 | ||||
Number: | No.5 | ||||
Number of Pages: | 18 | ||||
Institution: | University of Warwick | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Date of first compliant deposit: | 1 August 2016 | ||||
Date of first compliant Open Access: | 1 August 2016 |
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