Choosing optimal Strang splitting estimators of nonlinear stochastic differential equation models

Abstract

The Strang splitting estimator is a powerful estimator for parametric inference in multivariate stochastic differential equation models with nonlinear drift and additive noise. While the choice of splitting does not affect the asymptotic distribution of the estimator, it makes a huge impact in finite-sample settings and it has not yet been shown how the splitting can be chosen optimally. We derive error measures for the transition densities of the Strang splitting scheme, in particular calculating the bias up to the order of $h^3$, where $h$ is the length of the time step. We study the connection between these error measures and the performance of the Strang splitting estimator in the double-well potential model and the stochastic FitzHugh-Nagumo model, respectively. Our simulation studies suggest that linearization around fixed points yields accurate parameter estimates for potential models, while other splittings perform better for slow-fast excitable models.

arXiv comment23 pages, 8 figures, 1 table, original article