On asymptotic problems of parameter estimation in stochastic PDE's: Discrete time sampling (Q1368863): Difference between revisions
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Latest revision as of 04:07, 5 March 2024
scientific article
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| English | On asymptotic problems of parameter estimation in stochastic PDE's: Discrete time sampling |
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On asymptotic problems of parameter estimation in stochastic PDE's: Discrete time sampling (English)
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12 March 1998
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The maximum likelihood estimation of \(\vartheta\) is determined for \[ \frac{\partial u}{\partial t} + (H_0+\vartheta H_1)u = S(t,x) \] where \(H_0, H_1\) are linear operators and \(S(t,r)\) is a white noise with respect to \(t\). The first \(M\) harmonics of the Fourier expansion of \(u\) are observable at fixed moments \(t_1,\dots,t_N.\) Asymptotic properties are proved for \(M\rightarrow \infty.\)
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maximum likelihood estimation
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stochastic partial differential equation
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asymptotic problems
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parameter estimation
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