Maximum likelihood estimation for small noise multiscale diffusions

Konstantinos Spiliopoulos () and Alexandra Chronopoulou ()

Statistical Inference for Stochastic Processes, 2013, vol. 16, issue 3, 237-266

Abstract: We study the problem of parameter estimation for stochastic differential equations with small noise and fast oscillating parameters. Depending on how fast the intensity of the noise goes to zero relative to the homogenization parameter, we consider three different regimes. For each regime, we construct the maximum likelihood estimator and we study its consistency and asymptotic normality properties. A simulation study for the first order Langevin equation with a two scale potential is also provided. Copyright Springer Science+Business Media Dordrecht 2013

Keywords: Parameter estimation; Central limit theorem; Multiscale diffusions; Dynamical systems; Rough energy landscapes; 62M05; 62M86; 60F05; 60G99 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s11203-013-9088-8

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