A3 Book section, chapters in research books

Correlation integral likelihood for stochastic differential equations


Publication Details
Authors: Haario Heikki, Hakkarainen Janne, Maraia Ramona, Springer Sebastian
Editors of book: Wood, David R.; de Gier, Jan; Praeger, Cheryl E.; Tao, Terence
Publication year: 2019
Language: English
Title of parent publication: 2017 Matrix Annals
ISBN: 978-3-030-04160-1
eISBN: 978-3-030-04161-8
JUFO-Level of this publication: 2
Open Access: Not an Open Access publication

Abstract

A new approach was recently introduced for the task of estimation of parameters of chaotic dynamical systems. Here we apply the method for stochastic differential equation (SDE) systems. It turns out that the basic version of the approach does not identify such systems. However, a modification is presented that enables efficient parameter estimation of SDE models. We test the approach with basic SDE examples, compare the results to those obtained by usual state-space filtering methods, and apply it to more complex cases where the more traditional methods are no more available.


Last updated on 2020-20-03 at 10:03