Data-driven subsampling rates for diffusion parameter estimation of SDEs
随机微分方程扩散参数估计的数据驱动子采样频率选择
We study the problem of diffusion parameter estimation for stochastic differential equation (SDE) models in scenarios where data and model are compatible only on specific scales that have yet to be determined. We introduce a simple and efficient method for selecting suitable rates at which given time series data should be subsampled in order to ensure that the statistical structure of the subsampled data is consistent with the behavior of the SDE model on an infinitesimal…