TY - JOUR

T1 - Parameter estimation in nonlinear multivariate stochastic differential equations based on splitting schemes

AU - Pilipovic, Predrag

AU - Samson, Adeline

AU - Ditlevsen, Susanne

N1 - Publisher Copyright: © Institute of Mathematical Statistics, 2024.

PY - 2024

Y1 - 2024

N2 - The likelihood functions for discretely observed nonlinear continuous time models based on stochastic differential equations are not available except for a few cases. Various parameter estimation techniques have been proposed, each with advantages, disadvantages and limitations depending on the application. Most applications still use the Euler–Maruyama discretization, despite many proofs of its bias. More sophisticated methods, such as Kessler’s Gaussian approximation, Ozaki’s local linearization, Aït–Sahalia’s Hermite expansions or MCMC methods, might be complex to implement, do not scale well with increasing model dimension or can be numerically unstable. We propose two efficient and easy-to-implement likelihood-based estimators based on the Lie–Trotter (LT) and the Strang (S) splitting schemes. We prove that S has Lp convergence rate of order 1, a property already known for LT. We show that the estimators are consistent and asymptotically efficient under the less restrictive one-sided Lipschitz assumption. A numerical study on the 3-dimensional stochastic Lorenz system complements our theoretical findings. The simulation shows that the S estimator performs the best when measured on precision and computational speed compared to the state-of-the-art.

AB - The likelihood functions for discretely observed nonlinear continuous time models based on stochastic differential equations are not available except for a few cases. Various parameter estimation techniques have been proposed, each with advantages, disadvantages and limitations depending on the application. Most applications still use the Euler–Maruyama discretization, despite many proofs of its bias. More sophisticated methods, such as Kessler’s Gaussian approximation, Ozaki’s local linearization, Aït–Sahalia’s Hermite expansions or MCMC methods, might be complex to implement, do not scale well with increasing model dimension or can be numerically unstable. We propose two efficient and easy-to-implement likelihood-based estimators based on the Lie–Trotter (LT) and the Strang (S) splitting schemes. We prove that S has Lp convergence rate of order 1, a property already known for LT. We show that the estimators are consistent and asymptotically efficient under the less restrictive one-sided Lipschitz assumption. A numerical study on the 3-dimensional stochastic Lorenz system complements our theoretical findings. The simulation shows that the S estimator performs the best when measured on precision and computational speed compared to the state-of-the-art.

KW - Asymptotic normality

KW - consistency

KW - L convergence

KW - splitting schemes

KW - stochastic differential equations

KW - stochastic Lorenz system

U2 - 10.1214/24-AOS2371

DO - 10.1214/24-AOS2371

M3 - Journal article

AN - SCOPUS:85193785283

VL - 52

SP - 842

EP - 867

JO - Annals of Statistics

JF - Annals of Statistics

SN - 0090-5364

IS - 2

ER -