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SUMMARY:Parameter Estimation for Rough Differential Equations - Anastasia 
 Papavasilious (Warwick)
DTSTART:20090512T130000Z
DTEND:20090512T140000Z
UID:TALK18486@talks.cam.ac.uk
CONTACT:HoD Secretary\, DPMMS
DESCRIPTION:My goal is to estimate unknown parameters in the vector field 
 of a rough differential equation\, when the expected signature for the dri
 ving force is known and we estimate the expected signature of the response
  by Monte Carlo averages.\n\nI will introduce the "expected signature matc
 hing estimator" which extends the moment matching estimator and I will pro
 ve its consistency and asymptomatic normality\, under the assumption that 
 the vector field is polynomial. Finally\, I will describe the polynomial s
 ystem one needs to solve in order to compute this estimatior. 
LOCATION:MR12\, CMS\, Wilberforce Road\, Cambridge\, CB3 0WB
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