Subscribe to the gold package and get unlimited access to Shamra Academy
Register a new userPerturbation-based inference for diffusion processes: Obtaining effective models from multiscale data
113
0
0.0
(
0
)
Authors
Sebastian Krumscheid
Ask ChatGPT about the research
No Arabic abstract
We consider the inference problem for parameters in stochastic differential equation models from discrete time observations (e.g. experimental or simulation data). Specifically, we study the case where one does not have access to observations of the model itself, but only to a perturbed version which converges weakly to the solution of the model. Motivated by this perturbation argument, we study the convergence of estimation procedures from a numerical analysis point of view. More precisely, we introduce appropriate consistency, stability, and convergence concepts and study their connection. It turns out that standard statistical techniques, such as the maximum likelihood estimator, are not convergent methodologies in this setting, since they fail to be stable. Due to this shortcoming, we introduce and analyse a novel inference procedure for parameters in stochastic differential equation models which turns out to be convergent. As such, the method is particularly suited for the estimation of parameters in effective (i.e. coarse-grained) models from observations of the corresponding multiscale process. We illustrate these theoretical findings via several numerical examples.
rate research
Read More
We present a methodology based on filtered data and moving averages for estimating robustly effective dynamics from observations of multiscale systems. We show in a semi-parametric framework of the Langevin type that the method we propose is asymptotically unbiased with respect to homogenization theory. Moreover, we demonstrate with a series of numerical experiments that the method we propose here outperforms traditional techniques for extracting coarse-grained dynamics from data, such as subsampling, in terms of bias and of robustness.
Recently a new algorithm for sampling posteriors of unnormalised probability densities, called ABC Shadow, was proposed in [8]. This talk introduces a global optimisation procedure based on the ABC Shadow simulation dynamics. First the general method is explained, and then results on simulated and real data are presented. The method is rather general, in the sense that it applies for probability densities that are continuously differentiable with respect to their parameters
A general asymptotic theory is given for the panel data AR(1) model with time series independent in different cross sections. The theory covers the cases of stationary process, nearly non-stationary process, unit root process, mildly integrated, mildly explosive and explosive processes. It is assumed that the cross-sectional dimension and time-series dimension are respectively $N$ and $T$. The results in this paper illustrate that whichever the process is, with an appropriate regularization, the least squares estimator of the autoregressive coefficient converges to a normal distribution with rate at least $O(N^{-1/3})$. Since the variance is the key to characterize the normal distribution, it is important to discuss the variance of the least squares estimator. We will show that when the autoregressive coefficient $rho$ satisfies $|rho|<1$, the variance declines at the rate $O((NT)^{-1/2})$, while the rate changes to $O(N^{-1/2}T^{-1})$ when $rho=1$ and $O(N^{-1/2}rho^{-T+2})$ when $|rho|>1$. $rho=1$ is the critical point where the convergence rate changes radically. The transition process is studied by assuming $rho$ depending on $T$ and going to $1$. An interesting phenomenon discovered in this paper is that, in the explosive case, the least squares estimator of the autoregressive coefficient has a standard normal limiting distribution in panel data case while it may not has a limiting distribution in univariate time series case.
The effectiveness of Bayesian Additive Regression Trees (BART) has been demonstrated in a variety of contexts including non parametric regression and classification. Here we introduce a BART scheme for estimating the intensity of inhomogeneous Poisson Processes. Poisson intensity estimation is a vital task in various applications including medical imaging, astrophysics and network traffic analysis. Our approach enables full posterior inference of the intensity in a nonparametric regression setting. We demonstrate the performance of our scheme through simulation studies on synthetic and real datasets in one and two dimensions, and compare our approach to alternative approaches.
We propose a perturbation method for determining the (largest) group of invariance of a toric ideal defined in Aoki and Takemura [2008a]. In the perturbation method, we investigate how a generic element in the row space of the configuration defining a toric ideal is mapped by a permutation of the indeterminates. Compared to the proof in Aoki and Takemura [2008a] which was based on stabilizers of a subset of indeterminates, the perturbation method gives a much simpler proof of the group of invariance. In particular, we determine the group of invariance for a general hierarchical model of contingency tables in statistics, under the assumption that the numbers of the levels of the factors are generic. We prove that it is a wreath product indexed by a poset related to the intersection poset of the maximal interaction effects of the model.
Log in to be able to interact and post comments
comments
Fetching comments
Sign in to be able to follow your search criteria
