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Ilya Timofeyev : Sub-sampling in Parametric Estimation of Effective Stochastic Models from Discrete Data (Sep 13, 2010 4:25 PM)

It is often desirable to derive an effective stochastic model for the physical process from observational and/or numerical data. Various techniques exist for performing estimation of drift and diffusion in stochastic differential equations from discrete datasets. In this talk we discuss the question of sub-sampling of the data when it is desirable to approximate statistical features of a smooth trajectory by a stochastic differential equation. In this case estimation of stochastic differential equations would yield incorrect results if the dataset is too dense in time. Therefore, the dataset has to sub-sampled (i.e. rarefied) to ensure estimators' consistency. Favorable sub-sampling regime is identified from the asymptotic consistency of the estimators. Nevertheless, we show that estimators are biased for any finite sub-sampling time-step and construct new bias-corrected estimators.

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