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2019 | OriginalPaper | Chapter

Correlation Integral Likelihood for Stochastic Differential Equations

Authors : Heikki Haario, Janne Hakkarainen, Ramona Maraia, Sebastian Springer

Published in: 2017 MATRIX Annals

Publisher: Springer International Publishing

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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.

Metadata
Title
Correlation Integral Likelihood for Stochastic Differential Equations
Authors
Heikki Haario
Janne Hakkarainen
Ramona Maraia
Sebastian Springer
Copyright Year
2019
DOI
https://doi.org/10.1007/978-3-030-04161-8_3

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