Bayes estimation for some stochastic partial differential equations

DOI10.1016/S0378-3758(00)00196-8MaRDI QIDQ5928949zbMATH OpenOpenAlexWikidataFDO

Authors B. L. S. Prakasa Rao

Publication date 2000

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0378-3758(00)00196-8

zbMATH Keywords

Bayes estimationBernstein-von Mises theoremMaximum likelihood estimationParabolic stochastic partial differential equations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Random fields; image analysis (62M40)

Review text

The analogues of the Bernstein-von Mises theorem for two type of parabolic stochastic partial differential equations were developed. Asymptotic properties of Bayes estimators for the parameters are investigated following the results on maximum likelihood estimators for such equations discussed by M. Huebner et al. [Cambanis, Stamatis (ed.) et al., Stochastic processes: a festschrift in honour of Gopinath Kallianpur. New York: Springer-Verlag, 149--160 (1993; Zbl 0783.60058)].

Recommendations

• Bernstein-von Mises theorem and small noise asymptotes of Bayes estimators for parabolic stochastic partial differential equations
• The Bernstein-von Mises theorem and spectral asymptotics of Bayes estimators for parabolic SPDEs
• On some problems of estimation for some stochastic partial differential equations
• Bayesian estimations for diagonalizable bilinear SPDEs
• Upper bounds for large deviation probabilities for the MLE and BE of a parameter for some stochastic partial differential equations

Cites work

• Diffusion approximation of nuclear space-valued stochastic differential equations driven by Poisson random measures
• scientific article; zbMATH DE number 431862 (Why is no real title available?)
• scientific article; zbMATH DE number 3872419 (Why is no real title available?)
• scientific article; zbMATH DE number 3976091 (Why is no real title available?)
• scientific article; zbMATH DE number 3701980 (Why is no real title available?)
• scientific article; zbMATH DE number 3770806 (Why is no real title available?)
• On asymptotic properties of maximum likelihood estimators for parabolic stochastic PDE's
• ON STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
• Stochastic Equations in Infinite Dimensions
• The Bernstein-Von Mises Theorem for Markov Processes

Cited in

(14)

• Parameter estimation for controlled semilinear stochastic systems: Identifiability and consistency
• Statistical inference for SPDEs: an overview
• Bayesian parameter inference for partially observed stochastic differential equations driven by fractional Brownian motion
• Bayesian estimations for diagonalizable bilinear SPDEs
• A Bayesian estimation approach for the mortality in a stage-structured demographic model
• scientific article; zbMATH DE number 4016158 (Why is no real title available?)
• The Bernstein-von Mises theorem and spectral asymptotics of Bayes estimators for parabolic SPDEs
• On some problems of estimation for some stochastic partial differential equations
• Bayesian estimate and asymptotic property of stochastic differential equations with perturbation
• Bernstein-von Mises theorem and small noise asymptotes of Bayes estimators for parabolic stochastic partial differential equations
• Statistical inference for a stochastic partial differential equation related to an ecological niche
• A Bayesian mixed shrinkage prior procedure for spatial-stochastic basis selection and evaluation of gPC expansions: applications to elliptic SPDEs
• Asymptotic Bayesian estimation of a first order equation with small diffusion
• On Bayesian asymptotics in stochastic differential equations with random effects

This page was built for publication: Bayes estimation for some stochastic partial differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5928949)