research
∙
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...
share
research
∙
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...
research
∙
09/07/2021
Robust Estimation of Effective Diffusions from Multiscale Data
We present a methodology based on filtered data and moving averages for ...
research
∙
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...
research
∙
10/15/2020
Minimax Classification with 0-1 Loss and Performance Guarantees
Supervised classification techniques use training samples to find classi...
research
∙
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...
research
∙
08/15/2019
Ensemble Kalman filter for multiscale inverse problems
We present a novel algorithm based on the ensemble Kalman filter to solv...
research
∙
02/02/2019