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Maximum likelihood estimation for multiscale Ornstein-Uhlenbeck processes
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Zhang, Fan and Papavasiliou, Anastasia (2018) Maximum likelihood estimation for multiscale Ornstein-Uhlenbeck processes. Stochastics, 90 (6). 807-835 . doi:10.1080/17442508.2018.1424853 ISSN 1744-2508.
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Official URL: https://doi.org/10.1080/17442508.2018.1424853
Abstract
We study the problem of estimating the parameters of an Ornstein-Uhlenbeck (OU) process that is the coarse-grained limit of a multiscale system of OU processes, given data from the multiscale system. We consider both the averaging and homogenization cases and both drift and diffusion coefficients. By restricting ourselves to the OU system, we are able to substantiall y improve the results in [23, 21] and provide some intuition of what to expect in the general case. In particular, in the homogenisation case we derive optimal rates of sub-sampling, proving the conjecture in [23].
Item Type: | Journal Article | ||||||
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Subjects: | Q Science > QA Mathematics | ||||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||||
Library of Congress Subject Headings (LCSH): | Stochastic analysis., Mathematical statistics., Probabilities., Stochastic processes. | ||||||
Journal or Publication Title: | Stochastics | ||||||
Publisher: | Taylor & Francis Ltd. | ||||||
ISSN: | 1744-2508 | ||||||
Official Date: | 28 January 2018 | ||||||
Dates: |
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Volume: | 90 | ||||||
Number: | 6 | ||||||
Page Range: | 807-835 | ||||||
DOI: | 10.1080/17442508.2018.1424853 | ||||||
Status: | Peer Reviewed | ||||||
Publication Status: | Published | ||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||
Date of first compliant deposit: | 12 January 2018 | ||||||
Date of first compliant Open Access: | 28 January 2019 | ||||||
RIOXX Funder/Project Grant: |
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