Fitting Effective Diffusion Models to Data Associated with a "Glassy" Potential: Estimation, Classical Inference Procedures, and Some Heuristics

@article{Calderon2007FittingED,
  title={Fitting Effective Diffusion Models to Data Associated with a "Glassy" Potential: Estimation, Classical Inference Procedures, and Some Heuristics},
  author={Christopher P. Calderon},
  journal={Multiscale Modeling & Simulation},
  year={2007},
  volume={6},
  pages={656-687}
}
A variety of researchers [15, 22, 27, 29, 31, 33] have successfully obtained the parameters of low-dimensional diffusion models using the data that comes out of atomistic simulations. This naturally raises a variety of questions about efficient estimation, goodness-of-fit tests, and confidence interval estimation. The first part of this article uses maximum likelihood estimation (MLE) to obtain the parameters of a diffusion model from a scalar time series. I address numerical issues associated… CONTINUE READING
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