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arXiv · 2109.03132

Robust Estimation of Effective Diffusions from Multiscale Data

Giacomo Garegnani·Andrea Zanoni
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Abstract

We present a novel methodology based on filtered data and moving averages for estimating effective dynamics from observations of multiscale systems. We show in a semi-parametric framework of the Langevin type that our approach is asymptotically unbiased with respect to the theory of homogenization. Moreover, we demonstrate on a range of challenging numerical experiments that our method is accurate in extracting coarse-grained dynamics from multiscale data. In particular, the estimators we propose are more robust and require less knowledge of the full model than the standard technique of subsampling, which is widely employed in practice in this setting.

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Giacomo Garegnani, Andrea Zanoni. 2021-09-07. Robust Estimation of Effective Diffusions from Multiscale Data. https://arxiv.org/abs/2109.03132

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