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CATEGORIES:Isaac Newton Institute Seminar Series
SUMMARY:Statistical Inference for the Rough Homogenization
  Limit of Multiscale Fractional Ornstein-Uhlenbeck
  Processes - Pablo Ramses Alonso Martin (Universit
 y of Warwick)
DTSTART;TZID=Europe/London:20240904T114500
DTEND;TZID=Europe/London:20240904T120500
UID:TALK219127AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/219127
DESCRIPTION:Most real-world systems exhibit a multiscale behav
 iour that needs to be taken into consideration whe
 n fitting the effective dynamics to data sampled a
 t a given scale. In the case of stochastic multisc
 ale systems driven by Brownian motion\, it has bee
 n shown that in order for the Maximum Likelihood E
 stimators of the parameters of the limiting dynami
 cs to be consistent\, data needs to be subsampled 
 at an appropriate rate. Recent advances in extract
 ing effective dynamics for fractional multiscale s
 ystems make the same question relevant in the frac
 tional diffusion setting. We study the problem of 
 parameter estimation of the diffusion coefficient 
 in this context. In particular\, we consider the m
 ultiscale fractional Ornstein-Uhlenbeck system (fr
 actional kinetic Brownian motion) and we provide c
 onvergence results for the &nbsp\;Maximum Likeliho
 od Estimator of the diffusion coefficient of the l
 imiting dynamics\, using multiscale data. To do so
 \, we derive asymptotic bounds for the spectral no
 rm of the inverse covariance matrix of fractional 
 Gaussian noise. This is joint work with Anastasia 
 Papavasiliou and Horatio Boedihardjo.
LOCATION:Seminar Room 1\, Newton Institute
CONTACT:
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