Statistical inference for perturbed multiscale dynamical systems

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.