Data-driven subsampling rates for diffusion parameter estimation of SDEs

Abstract

We study the problem of diffusion parameter estimation for stochastic differential equation (SDE) models in scenarios where data and model are compatible only on specific scales that have yet to be determined. We introduce a simple and efficient method for selecting suitable rates at which given time series data should be subsampled in order to ensure that the statistical structure of the subsampled data is consistent with the behavior of the SDE model on an infinitesimal scale. Our approach is based on analyzing the statistics of the lengths of monotonically increasing or decreasing segments in the subsampled data sequence, which we refer to as monotone runs. As an analytical foundation, we prove for a large class of SDEs with additive noise that the lengths of monotone runs at an infinitesimal scale are approximately geometrically distributed with success probability $1/2$. This universal characterization is employed to derive an automated method for selecting appropriate subsampling rates for given time series data that is directly applicable in real-world scenarios and does not rely on an asymptotic framework of multiscale diffusions. The approach is demonstrated using an application from industrial mathematics concerning surrogate models for fiber lay-down curves in production processes of nonwoven textiles.