Parameter estimation for Rough Differential Equations
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Mon, 01/06/2009 14:15 |
Anastasia Papavasiliou (Warwick) |
Stochastic Analysis Seminar  |
Oxford-Man Institute |
| My goal is to estimate unknown parameters in the vector field of a rough differential equation, when the expected signature for the driving force is known and we estimate the expected signature of the response by Monte Carlo averages. I will introduce the "expected signature matching estimator" which extends the moment matching estimator and I will prove its consistency and asymptomatic normality, under the assumption that the vector field is polynomial. Finally, I will describe the polynomial system one needs to solve in order to compute this estimatior. | |||