Drift estimation of multiscale diffusions based on filtered data
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Author(s)
Abdulle, Assyr
Garegnani, Giacomo
Pavliotis, Grigorios A
Stuart, Andrew M
Zanoni, Andrea
Type
Journal Article
Abstract
We study the problem of drift estimation for two-scale continuous time series. We set ourselves in the framework of overdamped Langevin equations, for which a single-scale surrogate homogenized equation exists. In this setting, estimating the drift coefficient of the homogenized equation requires pre-processing of the data, often in the form of subsampling; this is because the two-scale equation and the homogenized single-scale equation are incompatible at small scales, generating mutually singular measures on the path space. We avoid subsampling and work instead with filtered data, found by application of an appropriate kernel function, and compute maximum likelihood estimators based on the filtered process. We show that the estimators we propose are asymptotically unbiased and demonstrate numerically the advantages of our method with respect to subsampling. Finally, we show how our filtered data methodology can be combined with Bayesian techniques and provide a full uncertainty quantification of the inference procedure.
Date Issued
2023-02-01
Date Acceptance
2021-06-04
Citation
Foundations of Computational Mathematics, 2023, 23, pp.33-84
ISSN
1615-3375
Publisher
Springer Science and Business Media LLC
Start Page
33
End Page
84
Journal / Book Title
Foundations of Computational Mathematics
Volume
23
Copyright Statement
© The Author(s) 2021. Open Access This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/.
License URL
Identifier
https://link.springer.com/article/10.1007%2Fs10208-021-09541-9
Publication Status
Published
Date Publish Online
2021-10-13