• Corpus ID: 59045733

Operator Fitting for Parameter Estimation of Stochastic Differential Equations

@article{Riseth2017OperatorFF,
  title={Operator Fitting for Parameter Estimation of Stochastic Differential Equations},
  author={Asbj{\o}rn Nilsen Riseth and Jake P. Taylor-King},
  journal={arXiv: Statistics Theory},
  year={2017}
}
Estimation of parameters is a crucial part of model development. When models are deterministic, one can minimise the fitting error; for stochastic systems one must be more careful. Broadly parameterisation methods for stochastic dynamical systems fit into maximum likelihood estimation- and method of moment-inspired techniques. We propose a method where one matches a finite dimensional approximation of the Koopman operator with the implied Koopman operator as generated by an extended dynamic… 

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