A generalized algorithm for estimating the parameters of a multivariate, coupled diffusion system

Details A generalized algorithm for estimating the parameters of a multivariate, coupled diffusion system A generalized algorithm for estimating the parameters of a multivariate, coupled diffusion system

2009-09-29

arxiv.org/abs/0909.5299v1

Statistics

Methodology

15 pages, 2 figures

Scientific paper

Diffusion processes are used to model a wide range of real-world phenomena. Consequently, the ability to estimate the diffusion parameters from available time series data would greatly further our understanding of such phenomena. A new algorithm is proposed to estimate the parameters for a Fokker-Planck system. The algorithm is applicable for a wide class of multivariate diffusion systems. Not only does the method provide reliable parameter estimates in a highly computationally efficient manner, it can also produce credibility intervals for these parameters. It is demonstrated that the credibility intervals have coverage close to their advertised values. Hence, the algorithm produces parameter estimates with limited systematic biases.

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