2020/02/26 by Ying Chao, Chao, Ying, Pingyuan Wei +3
Physics and Astronomy · Economics, Econometrics and Finance · #stochastic dynamics and bifurcation #Advanced Thermodynamics and Statistical Mechanics #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2002.11784
This work is about parameter estimation for a fast-slow stochastic system with non-Gaussian α-stable Lévy noise. When the observations are only available for slow components, a system parameter is estimated and the accuracy for this estimation is quantified by p-moment with p∈(1, α), with the help of a reduced system through random slow manifold approximation. This method provides an advantage in computational complexity and cost, due to the dimension reduction in stochastic systems. To numerically illustrate this method, and to corroborate that the parameter estimator based on the reduced slow system is a good approximation for the true parameter value of the original system, a prototypical example is present.