The Connection between Discrete- and Continuous-Time Descriptions of Gaussian Continuous Processes
share
Learning the continuous equations of motion from discrete observations is a common task in all areas of physics. However, not any discretization of a Gaussian continuous-time stochastic process can be adopted in parametric inference. We show that discretizations yielding consistent estimators have the property of `invariance under coarse-graining', and correspond to fixed points of a renormalization group map on the space of autoregressive moving average (ARMA) models (for linear processes). This result explains why combining differencing schemes for derivatives reconstruction and local-in-time inference approaches does not work for time series analysis of second or higher order stochastic differential equations, even if the corresponding integration schemes may be acceptably good for numerical simulations.
READ FULL TEXT
