MATHICSE Technical Report : Drift Estimation of Multiscale Diffusions Based on Filtered Data
Graph Chatbot
Chattez avec Graph Search
Posez n’importe quelle question sur les cours, conférences, exercices, recherches, actualités, etc. de l’EPFL ou essayez les exemples de questions ci-dessous.
AVERTISSEMENT : Le chatbot Graph n'est pas programmé pour fournir des réponses explicites ou catégoriques à vos questions. Il transforme plutôt vos questions en demandes API qui sont distribuées aux différents services informatiques officiellement administrés par l'EPFL. Son but est uniquement de collecter et de recommander des références pertinentes à des contenus que vous pouvez explorer pour vous aider à répondre à vos questions.
The ensemble Kalman filter is a computationally efficient technique to solve state and/or parameter estimation problems in the framework of statistical inversion when relying on a Bayesian paradigm. Unfortunately its cost may become moderately large for sy ...
We propose a cheaper version of a posteriori error estimator from Gorynina et al. (Namer. Anal. (2017)) for the linear second-order wave equation discretized by the Newmark scheme in time and by the finite element method in space. The new estimator preserv ...
The spectral distribution plays a key role in the statistical modelling of multivariate extremes, as it defines the dependence structure of multivariate extreme-value distributions and characterizes the limiting distribution of the relative sizes of the co ...
A new strategy based on numerical homogenization and Bayesian techniques for solving multiscale inverse problems is introduced. We consider a class of elliptic problems which vary at a microscopic scale, and we aim at recovering the highly oscillatory tens ...
xtreme value analysis is concerned with the modelling of extreme events such as floods and heatwaves, which can have large impacts. Statistical modelling can be useful to better assess risks even if, due to scarcity of measurements, there is inherently ver ...
We study a general class of repeated auctions, such as the ones found in electricity markets, as multi-agent games between the bidders. In such a repeated setting, bidders can adapt their strategies online using no-regret algorithms based on the data obser ...
We propose an estimator for the mean of a random vector in Rd that can be computed in time O(n3.5 + n2d) for n i.i.d. samples and that has error bounds matching the sub-Gaussian case. The only assumptions we make about the data distribution are that it has ...
Bayesian state estimation in the form of Kalman smoothing was applied to differential mobility analyser train (DMA-train) measurements of aerosol size distribution dynamics. Four experiments were analysed in order to estimate the aerosol size distribution, ...
Many research questions involve time-to-event outcomes that can be prevented from occurring due to competing events. In these settings, we must be careful about the causal interpretation of classical statistical estimands. In particular, estimands on the h ...
This discussion focuses on areas of disagreement with the papers, particularly the target of inference and the case for using the robust 'sandwich' variance estimator in the presence of moderate mis-specification. We also suggest that existing procedures m ...
