{"paper":{"title":"On parameter identification in stochastic differential equations by penalized maximum likelihood","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.NA","q-fin.ST"],"primary_cat":"stat.CO","authors_text":"Fabian Dunker, Thorsten Hohage","submitted_at":"2014-04-02T18:26:02Z","abstract_excerpt":"In this paper we present nonparametric estimators for coefficients in stochastic differential equation if the data are described by independent, identically distributed random variables. The problem is formulated as a nonlinear ill-posed operator equation with a deterministic forward operator described by the Fokker-Planck equation. We derive convergence rates of the risk for penalized maximum likelihood estimators with convex penalty terms and for Newton-type methods. The assumptions of our general convergence results are verified for estimation of the drift coefficient. The advantages of log"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1404.0651","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}