Semiparametric Drift and Diffusion Estimation for Multiscale Diffusions
Work
Year: 2013
Type: article
Abstract: We consider the problem of statistical inference for the effective dynamics of multiscale diffusion processes with (at least) two widely separated characteristic time scales. More precisely, we seek t... more
Institutions Imperial College London, École nationale des ponts et chaussées, Institut national de recherche en informatique et en automatique, Freie Universität Berlin
Cites: 56
Cited by: 20
Related to: 10
FWCI: 2.282
Citation percentile (by year/subfield): 93.1
Subfield: Computational Theory and Mathematics
Field: Computer Science
Domain: Physical Sciences
Open Access status: green