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12/01/2022
A method of moments estimator for interacting particle systems and their mean field limit
We study the problem of learning unknown parameters in stochastic intera...
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12/09/2021
Eigenfunction martingale estimators for interacting particle systems and their mean field limit
We study the problem of parameter estimation for large exchangeable inte...
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09/07/2021
Robust Estimation of Effective Diffusions from Multiscale Data
We present a methodology based on filtered data and moving averages for ...
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04/21/2021
Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions
We propose a novel method for drift estimation of multiscale diffusion p...
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10/15/2020
Minimax Classification with 0-1 Loss and Performance Guarantees
Supervised classification techniques use training samples to find classi...
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09/28/2020
Drift Estimation of Multiscale Diffusions Based on Filtered Data
We study the problem of drift estimation for two-scale continuous time s...
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08/15/2019
Ensemble Kalman filter for multiscale inverse problems
We present a novel algorithm based on the ensemble Kalman filter to solv...
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02/02/2019
