Statistical Inference for the Rough Homogenization Limit of Multiscale Fractional Ornstein-Uhlenbeck Processes

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• Pablo Ramses Alonso Martin (University of Warwick)
• Wednesday 04 September 2024, 11:45-12:05
• Seminar Room 1, Newton Institute.

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SSDW05 - Modelling and Applications of Anomalous Diffusions

Most real-world systems exhibit a multiscale behaviour that needs to be taken into consideration when fitting the effective dynamics to data sampled at a given scale. In the case of stochastic multiscale systems driven by Brownian motion, it has been shown that in order for the Maximum Likelihood Estimators of the parameters of the limiting dynamics to be consistent, data needs to be subsampled at an appropriate rate. Recent advances in extracting effective dynamics for fractional multiscale systems make the same question relevant in the fractional diffusion setting. We study the problem of parameter estimation of the diffusion coefficient in this context. In particular, we consider the multiscale fractional Ornstein-Uhlenbeck system (fractional kinetic Brownian motion) and we provide convergence results for the  Maximum Likelihood Estimator of the diffusion coefficient of the limiting dynamics, using multiscale data. To do so, we derive asymptotic bounds for the spectral norm of the inverse covariance matrix of fractional Gaussian noise. This is joint work with Anastasia Papavasiliou and Horatio Boedihardjo.

This talk is part of the Isaac Newton Institute Seminar Series series.

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