کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5130194 1378665 2017 30 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Statistical inference for perturbed multiscale dynamical systems
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Statistical inference for perturbed multiscale dynamical systems
چکیده انگلیسی

We study statistical inference for small-noise-perturbed multiscale dynamical systems. We prove consistency, asymptotic normality, and convergence of all scaled moments of an appropriately constructed maximum likelihood estimator (MLE) for a parameter of interest, identifying precisely its limiting variance. We allow full dependence of coefficients on both slow and fast processes, which take values in the full Euclidean space; coefficients in the equation for the slow process need not be bounded and there is no assumption of periodic dependence. The results provide a theoretical basis for calibration of small-noise-perturbed multiscale dynamical systems. Data from numerical simulations are presented to illustrate the theory.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 127, Issue 2, February 2017, Pages 419–448