Identifiability and Estimation in Continuous Lyapunov Models

Authors: Cecilie Olesen Recke, Niels Richard Hansen

Year: 2026

math.ST

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2026
Published
2
Authors

Abstract

Cross-sectional observations from a dynamical system can be modeled via steady-state distributions of Markov processes. The major challenge is then to determine whether the process parameters can be identified and estimated from the steady-state distributions. We study this problem for continuous Lyapunov models that arise as steady-state distributions of the solution to a multivariate stochastic differential equation, whose linear drift matrix is parametrized by a directed graph. We derive equations for the cumulant tensors of any order for this distribution, which generalize the well-known covariance Lyapunov equation. Under a non-Gaussianity assumption we prove generic identifiability of the drift matrix for any connected graph using the equations for the higher-order cumulants. Based on the identifiability result, we propose a new semiparametric estimator of the drift matrix, and we derive its asymptotic distribution. A simulation study demonstrates the asymptotic validity of the estimator but shows that it is only accurate for relatively large sample sizes, illustrating the hardness of the unconstrained estimation problem.

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