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| Format: | Preprint |
| Veröffentlicht: |
2024
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| Online-Zugang: | https://arxiv.org/abs/2402.10608 |
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| _version_ | 1866917591284449280 |
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| author | Arani, Babak M. S. |
| author_facet | Arani, Babak M. S. |
| contents | Literature is full of inference techniques developed to estimate the parameters of stochastic dynamical systems driven by the well-known Brownian noise. Such diffusion models are often inappropriate models to properly describe the dynamics reflected in many real-world data which are dominated by jump discontinuities of various sizes and frequencies. To account for the presence of jumps, jump-diffusion models are introduced and some inference techniques are developed. Jump-diffusion models are also inadequate models since they fail to reflect the frequent occurrence as well as the continuous spectrum of natural jumps. It is, therefore, crucial to depart from the classical stochastic systems like diffusion and jump-diffusion models and resort to stochastic systems where the regime of stochasticity is governed by the stochastic fluctuations of Lévy type. Reconstruction of Lévy-driven dynamical systems, however, has been a major challenge. The literature on the reconstruction of Lévy-driven systems is rather poor: there are few reconstruction algorithms developed which suffer from one or several problems such as being data-hungry, failing to provide a full reconstruction of noise parameters, tackling only some specific systems, failing to cope with multivariate data in practice, lacking proper validation mechanisms, and many more. This letter introduces a maximum likelihood estimation procedure which grants a full reconstruction of the system, requires less data, and its implementation for multivariate data is quite straightforward. To the best of our knowledge this contribution is the first to tackle all the mentioned shortcomings. We apply our algorithm to simulated data as well as an ice-core dataset spanning the last glaciation. In particular, we find new insights about the dynamics of the climate in the curse of the last glaciation which was not found in previous studies. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2402_10608 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A maximum likelihood estimation of Lévy-driven stochastic systems for univariate and multivariate time series of observations Arani, Babak M. S. Dynamical Systems Methodology Literature is full of inference techniques developed to estimate the parameters of stochastic dynamical systems driven by the well-known Brownian noise. Such diffusion models are often inappropriate models to properly describe the dynamics reflected in many real-world data which are dominated by jump discontinuities of various sizes and frequencies. To account for the presence of jumps, jump-diffusion models are introduced and some inference techniques are developed. Jump-diffusion models are also inadequate models since they fail to reflect the frequent occurrence as well as the continuous spectrum of natural jumps. It is, therefore, crucial to depart from the classical stochastic systems like diffusion and jump-diffusion models and resort to stochastic systems where the regime of stochasticity is governed by the stochastic fluctuations of Lévy type. Reconstruction of Lévy-driven dynamical systems, however, has been a major challenge. The literature on the reconstruction of Lévy-driven systems is rather poor: there are few reconstruction algorithms developed which suffer from one or several problems such as being data-hungry, failing to provide a full reconstruction of noise parameters, tackling only some specific systems, failing to cope with multivariate data in practice, lacking proper validation mechanisms, and many more. This letter introduces a maximum likelihood estimation procedure which grants a full reconstruction of the system, requires less data, and its implementation for multivariate data is quite straightforward. To the best of our knowledge this contribution is the first to tackle all the mentioned shortcomings. We apply our algorithm to simulated data as well as an ice-core dataset spanning the last glaciation. In particular, we find new insights about the dynamics of the climate in the curse of the last glaciation which was not found in previous studies. |
| title | A maximum likelihood estimation of Lévy-driven stochastic systems for univariate and multivariate time series of observations |
| topic | Dynamical Systems Methodology |
| url | https://arxiv.org/abs/2402.10608 |