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  4. MATHICSE Technical Report: Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale
 
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MATHICSE Technical Report: Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale

Abdulle, Assyr  
•
Pavliotis, Grigorios A.
•
Zanoni, Andrea  
April 21, 2021

We propose a novel method for drift estimation of multiscale diffusion processes when a sequence of discrete observations is given. For the Langevin dynamics in a two-scale potential, our approach relies on the eigenvalues and the eigenfunctions of the homogenized dynamics. Our first estimator is derived from a martingale estimating function of the generator of the homogenized diffusion process. However, the unbiasedness of the estimator depends on the rate with which the observations are sampled. We therefore introduce a second estimator which relies also on filtering the data and we prove that it is asymptotically unbiased independently of the sampling rate. A series of numerical experiments illustrate the reliability and efficiency of our different estimators.

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2021_AA_GP_AZ.pdf

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Preprint

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Submitted version (Preprint)

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openaccess

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