Estimating parameters of stochastic differential equations using a criterion function based on the Kolmogorov-Smirnov statistics

  • Daria Filatova University of Kielce
  • Marek Grzwaczewski Politechnical University of Radom
  • David McDonald CSIRO Marine Research
Keywords: Stochastic differential equations, parameter estimation, Kolmogorov-Smirnov statistic, simulation experiments


We introduce a method for the estimation of stochastic differential equation coefficients from panel data. The method involves matching the distribution of the experimental/field data with a panel of simulated data generated by a Monte Carlo experiment. The fit between the two distributions is assessed by means of Kolmogorov-Smirnov goodness-of-fit statistic leading to a confidence function computed from an incomplete gamma function. A numerical optimization algorithm then optimizes the choice of parameters to maximize this function.


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