14 citations · 39 across the 16 of their papers we have counts for
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math.PR2016
Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes
Andrew Papanicolaou, Konstantinos Spiliopoulos
We consider partially observed multiscale diffusion models that are specified up to an unknown vector parameter. We establish for a very general class of test functions that the fi…
math.PR2013★ 6 cited
Filtering the Maximum Likelihood for Multiscale Problems
Andrew Papanicolaou, Konstantinos Spiliopoulos
Filtering and parameter estimation under partial information for multiscale problems is studied in this paper. After proving mean square convergence of the nonlinear filter to a fi…
math.PR2012★ 3 cited
Nonlinear Filters for Hidden Markov Models of Regime Change with Fast Mean-Reverting States
Andrew Papanicolaou
We consider filtering for a hidden Markov model that evolves with multiple time scales in the hidden states. In particular, we consider the case where one of the states is a scaled…