Parameter estimation in nonlinear multivariate stochastic differential equations based on splitting schemes

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Abstract

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 Kessler’s Gaussian approximation, Ozaki’s local linearization, Aït–Sahalia’s 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-the-art.

OriginalsprogEngelsk
TidsskriftAnnals of Statistics
Vol/bind52
Udgave nummer2
Sider (fra-til)842-867
ISSN0090-5364
DOI
StatusUdgivet - 2024

Bibliografisk note

Funding Information:
Funding. The European Union\u2019s Horizon 2020 research and innovation program under the Marie Sk\u0142odowska\u2013Curie grant agreement No 956107, \u201CEconomic Policy in Complex Environments (EPOC)\u201D; and Novo Nordisk Foundation NNF20OC0062958. This work has been partially supported by MIAI@Grenoble Alpes, (ANR-19-P3IA-0003).

Publisher Copyright:
© Institute of Mathematical Statistics, 2024.

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