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Title of Journal: J Stat Phys

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Abbravation: Journal of Statistical Physics

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Kluwer Academic Publishers-Plenum Publishers

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DOI

10.1016/0742-8413(89)90202-8

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1572-9613

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Parameter Estimation for Multiscale Diffusions

Authors: G A Pavliotis A M Stuart
Publish Date: 2007/03/23
Volume: 127, Issue: 4, Pages: 741-781
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Abstract

We study the problem of parameter estimation for timeseries possessing two widely separated characteristic time scales The aim is to understand situations where it is desirable to fit a homogenized singlescale model to such multiscale data We demonstrate numerically and analytically that if the data is sampled too finely then the parameter fit will fail in that the correct parameters in the homogenized model are not identified We also show numerically and analytically that if the data is subsampled at an appropriate rate then it is possible to estimate the coefficients of the homogenized model correctly

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  2. Probabilistic Cellular Automata for Low-Temperature 2-d Ising Model
  3. Random Birth-and-Death Networks
  4. Fourth Moment Sum Rule for the Charge Correlations of a Two-Component Classical Plasma
  5. On Asymptotic Behavior of Multilinear Eigenvalue Statistics of Random Matrices
  6. Products of Random Matrices and Generalised Quantum Point Scatterers
  7. Symmetry of the Linearized Boltzmann Equation and Its Application
  8. Activity of Excitatory Neuron with Delayed Feedback Stimulated with Poisson Stream is Non-Markov
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  10. Entropy-Driven Phase Transition in a Polydisperse Hard-Rods Lattice System
  11. Knudsen Gas in a Finite Random Tube: Transport Diffusion and First Passage Properties
  12. New Horizons in Multidimensional Diffusion: The Lorentz Gas and the Riemann Hypothesis
  13. Clustering of Fermionic Truncated Expectation Values Via Functional Integration
  14. Large Deviations for Stationary Probabilities of a Family of Continuous Time Markov Chains via Aubry–Mather Theory
  15. Revisiting the Glansdorff–Prigogine Criterion for Stability Within Irreversible Thermodynamics
  16. Ground State Energy of the One-Dimensional Discrete Random Schrödinger Operator with Bernoulli Potential
  17. A Pearson Random Walk with Steps of Uniform Orientation and Dirichlet Distributed Lengths
  18. The More the Merrier?
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