Filtered data based estimators for stochastic processes driven by colored noise
Fuente:
arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2023
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| Acceso en línea: | |
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| _version_ | 1866912169570861056 |
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| author | Pavliotis, Grigorios A. Reich, Sebastian Zanoni, Andrea |
| author_facet | Pavliotis, Grigorios A. Reich, Sebastian Zanoni, Andrea |
| contents | We consider the problem of estimating unknown parameters in stochastic differential equations driven by colored noise, which we model as a sequence of Gaussian stationary processes with decreasing correlation time. We aim to infer parameters in the limit equation, driven by white noise, given observations of the colored noise dynamics. We consider both the maximum likelihood and the stochastic gradient descent in continuous time estimators, and we propose to modify them by including filtered data. We provide a convergence analysis for our estimators showing their asymptotic unbiasedness in a general setting and asymptotic normality under a simplified scenario. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2312_15975 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Filtered data based estimators for stochastic processes driven by colored noise Pavliotis, Grigorios A. Reich, Sebastian Zanoni, Andrea Numerical Analysis We consider the problem of estimating unknown parameters in stochastic differential equations driven by colored noise, which we model as a sequence of Gaussian stationary processes with decreasing correlation time. We aim to infer parameters in the limit equation, driven by white noise, given observations of the colored noise dynamics. We consider both the maximum likelihood and the stochastic gradient descent in continuous time estimators, and we propose to modify them by including filtered data. We provide a convergence analysis for our estimators showing their asymptotic unbiasedness in a general setting and asymptotic normality under a simplified scenario. |
| title | Filtered data based estimators for stochastic processes driven by colored noise |
| topic | Numerical Analysis |
| url | https://arxiv.org/abs/2312.15975 |