Statistics Seminars: Statistical Inference for Multiscale Diffusions
7 February 2011 15:15 in CM221
I will discuss the problem of modelling the limiting (averaged or homogenized) SDE of a multiscale diffusion. First, I will present the main results regarding the behavior of the MLE of the limiting equation given data from the multiscale diffusion. This is joint work with Prof. A. Stuart and Dr. G. Pavliotis. Then, I will focus on estimating the diffusion parameter of the limiting (homogenized) equation given multiscale data. When using the MLE, we need to subsample data. I will present an alternative estimator which avoids subsampling.
Host: Umberto Picchini
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