Parameter estimation for SPDEs based on discrete observations in time and space

DOI10.1214/21-EJS1848zbMath1471.62276arXiv1910.01004MaRDI QIDQ2044395

Florian Hildebrandt, Mathias Trabs

Publication date: 9 August 2021

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.01004

zbMATH Keywords

stochastic partial differential equationscentral limit theoremsinfill asymptoticsoptimal rate of convergencerealized quadratic variation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (13)

Adaptive estimator for a parabolic linear SPDE with a small noise ⋮ On quadratic variations for the fractional-white wave equation ⋮ Bayesian inversion techniques for stochastic partial differential equations ⋮ Power variations in fractional Sobolev spaces for a class of parabolic stochastic PDEs ⋮ Nonparametric calibration for stochastic reaction-diffusion equations based on discrete observations ⋮ Exact variation and drift parameter estimation for the nonlinear fractional stochastic heat equation ⋮ Efficient parameter estimation for parabolic SPDEs based on a log-linear model for realized volatilities ⋮ Parameter estimation for linear parabolic SPDEs in two space dimensions based on high frequency data ⋮ Parameter estimation for a linear parabolic SPDE model in two space dimensions with a small noise ⋮ Unnamed Item ⋮ Nonparametric estimation for linear SPDEs from local measurements ⋮ Parameter estimation for SPDEs based on discrete observations in time and space ⋮ Parameter Estimation in an SPDE Model for Cell Repolarization

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