PARAMETER ESTIMATION IN NONLINEAR MULTIVARIATE STOCHASTIC DIFFERENTIAL EQUATIONS BASED ON SPLITTING SCHEMES

• 成果类型: Article
• 署名作者: Pilipovic, Predrag; Samson, Adeline; Ditlevsen, Susanne
• 署名单位: University of Copenhagen; Centre National de la Recherche Scientifique (CNRS); Communaute Universite Grenoble Alpes; Institut National Polytechnique de Grenoble; Universite Grenoble Alpes (UGA)
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/24-AOS2371
• 发表日期: 2024
• 页码: 842-867
• 关键词: maximum-likelihood-estimation; diffusion; time; approximation; integrators; expansions; inference; accuracy; systems; models

摘要

The likelihood functions for discretely observed nonlinear continuous time models based on stochastic differential equations are not available except for a few cases. Various parameter estimation techniques have been proposed, each with advantages, disadvantages and limitations depending on the application. Most applications still use the Euler-Maruyama discretization, despite many proofs of its bias. More sophisticated methods, such as Hermite expansions or MCMC methods, might be complex to implement, do not scale well with increasing model dimension or can be numerically unstable. We propose two efficient and easy-to-implement likelihood-based estimators based on the Lie-Trotter (LT) and the Strang (S) splitting schemes. We prove that S has Lp convergence rate of order 1, a property already known for LT. We show that the estimators are consistent and asymptotically efficient under the less restrictive one-sided Lipschitz assumption. A numerical study on the 3-dimensional stochastic Lorenz system complements our theoretical findings. The simulation shows that the S estimator performs the best when measured on precision and computational speed compared to the state-of-theart.