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Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions
We propose a novel method for drift estimation of multiscale diffusion processes when a sequence of discrete observations is given. For the Langevin dynamics in a two-scale potential, our approach relies on the eigenvalues and the eigenfunctions of the homogenized dynamics. Our first estimator is de...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2022
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9001250/ https://www.ncbi.nlm.nih.gov/pubmed/35527984 http://dx.doi.org/10.1007/s11222-022-10081-7 |