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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, Vol.2010 (No.5).

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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  
Official Date:  2010  
Dates: 


Volume:  Vol.2010  
Number:  No.5  
Number of Pages:  18  
Status:  Not Peer Reviewed  
Access rights to Published version:  Open Access  
References:  [1] R. Azencott, A. Beri and I. Timofeyev. Adaptive subsampling for parametric 

URI:  http://wrap.warwick.ac.uk/id/eprint/35070 
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