Asymptotic statistical inference for a stochastic heat flow problem (Q1074277)
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English | Asymptotic statistical inference for a stochastic heat flow problem |
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Asymptotic statistical inference for a stochastic heat flow problem (English)
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1985
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This note demonstrates how the framework of statistical inference for Hilbert space valued stochastic differentials (SDE's) established by the second author [Stochastic Processes Appl. 17, 243-263 (1984; Zbl 0553.93059)] is made to apply in certain cases, where the parameter of interest is contained in an unbounded operator generating a semigroup on the Hilbert space. In particular, the results are relevant in the context of asymptotically effective statistical inference about surface conductance parameters in a stochastic heat flow given a direct, noise- free measurement of the sample path.
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Girsanov's theorem
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absolute continuity
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central limit theorem for
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Hilbert space valued stochastic integrals
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consistency
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asymptotic
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normality
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maximum likelihood estimator
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Wiener processes
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Hilbert space valued stochastic differentials
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unbounded operator
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surface conductance parameters
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stochastic heat flow
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