Parameter Estimation for Partially Observed Hypoelliptic Diffusions
部分观测亚椭圆扩散过程的参数估计
Summary Hypoelliptic diffusion processes can be used to model a variety of phenomena in applications ranging from molecular dynamics to audio signal analysis. We study parameter estimation for such processes in situations where we observe some components of the solution at discrete times. Since exact likelihoods for the transition densities are typically not known, approximations are used that are expected to work well in the limit of small intersample times Δt and large…