Skip to main content
main-content

Tipp

Weitere Kapitel dieses Buchs durch Wischen aufrufen

2019 | OriginalPaper | Buchkapitel

Correlation Integral Likelihood for Stochastic Differential Equations

verfasst von: Heikki Haario, Janne Hakkarainen, Ramona Maraia, Sebastian Springer

Erschienen in: 2017 MATRIX Annals

Verlag: Springer International Publishing

share
TEILEN

A new approach was recently introduced for the task of estimation of parameters of chaotic dynamical systems. Here we apply the method for stochastic differential equation (SDE) systems. It turns out that the basic version of the approach does not identify such systems. However, a modification is presented that enables efficient parameter estimation of SDE models. We test the approach with basic SDE examples, compare the results to those obtained by usual state-space filtering methods, and apply it to more complex cases where the more traditional methods are no more available.

Metadaten
Titel
Correlation Integral Likelihood for Stochastic Differential Equations
verfasst von
Heikki Haario
Janne Hakkarainen
Ramona Maraia
Sebastian Springer
Copyright-Jahr
2019
DOI
https://doi.org/10.1007/978-3-030-04161-8_3

Premium Partner