On asymptotic properties of maximum likelihood estimators for parabolic stochastic PDE's

DOI10.1007/BF01204212zbMATH Open0831.60070OpenAlexW2004157828MaRDI QIDQ1900233FDOQ1900233

Yanyan Li

Publication date: 25 January 1996

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01204212

Recommendations

• A characterization of asymptotic behaviour of maximum likelihood estimators for stochastic PDE's
• Asymptotic properties of the maximum likelihood estimator for stochastic PDEs disturbed by small noise
• scientific article
• scientific article; zbMATH DE number 431862
• scientific article; zbMATH DE number 1304730

zbMATH Keywords

asymptotic normalityasymptotic efficiencymaximum likelihood estimatorscylindrical Brownian motion

Mathematics Subject Classification ID

Point estimation (62F10) Probabilistic methods, stochastic differential equations (65C99) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

• Title not available (Why is that?)
• Stochastic Equations in Infinite Dimensions
• Title not available (Why is that?)
• Title not available (Why is that?)
• Parameter identification in infinte dimensional linear systems
• Regularized Maximum Likelihood Estimate for an Infinite-Dimensional Parameter in Stochastic Parabolic Systems
• Girsanov's theorem in Hilbert space and an application to the statistics of Hilbert space-valued stochastic differential equations

Cited In (46)

• Statistical analysis of some evolution equations driven by space-only noise
• Parameter Estimation in an SPDE Model for Cell Repolarization
• Convergence rate of maximum likelihood estimator of parameter in stochastic partial differential equation
• Parameter estimation in diagonalizable bilinear stochastic parabolic equations
• Hypothesis testing for stochastic PDEs driven by additive noise
• Identification of Bayesian posteriors for coefficients of chaos expansions
• Optimal Berry-Esseen bound for parameter estimation of SPDE with small noise
• Ergodicity and parameter estimates for Infinite-dimensional fractional Ornstein-Uhlenbeck process
• Likelihood inference for a discretely observed stochastic partial differential equation
• Moderate deviation for parameter estimator in the stochastic parabolic equations with additive fractional Brownian motion
• Statistical inference for SPDEs: an overview
• Trajectory fitting estimators for SPDEs driven by additive noise
• Parameter estimation for a linear parabolic SPDE model in two space dimensions with a small noise
• Parameter estimation for controlled semilinear stochastic systems: Identifiability and consistency
• Upper bounds for large deviation probabilities for the MLE and BE of a parameter for some stochastic partial differential equations
• Parameter estimation for SPDEs based on discrete observations in time and space
• Reduced chaos decomposition with random coefficients of vector-valued random variables and random fields
• Title not available (Why is that?)
• Parameter estimation for the stochastic heat equation with multiplicative noise from local measurements
• Volatility estimation for stochastic PDEs using high-frequency observations
• Spectral asymptotics of some functionals arising in statistical inference for SPDEs
• Bayes estimation for some stochastic partial differential equations
• Asymptotic Analysis of the Sieve Estimator for a Class of Parabolic SPDEs
• Title not available (Why is that?)
• Parameter estimation for stochastic wave equation based on observation window
• Estimation for the reaction term in semi-linear SPDEs under small diffusivity
• Optimal parameter estimation for linear SPDEs from multiple measurements
• Diffusivity estimation for activator-inhibitor models: theory and application to intracellular dynamics of the actin cytoskeleton
• Moderate deviations for parameter estimation in some time inhomogeneous diffusions
• A space-consistent version of the minimum-contrast estimator for linear stochastic evolution equations
• Title not available (Why is that?)
• Asymptotic analysis of a kernel estimator for parabolic SPDE's with time-dependent coefficients.
• An identification problem for systems with additive fractional Brownian field
• Drift estimation for stochastic reaction-diffusion systems
• PARAMETER ESTIMATION FOR SPDEs WITH MULTIPLICATIVE FRACTIONAL NOISE
• Parameter estimation for the stochastically perturbed Navier-Stokes equations
• Nonparametric estimation for linear SPDEs from local measurements
• The Bernstein-von Mises theorem and spectral asymptotics of Bayes estimators for parabolic SPDEs
• Optimal Berry-Esseen bound for statistical estimations and its application to SPDE
• Asymptotic analysis of a kernel estimator for parabolic stochastic partial differential equations driven by fractional noises
• Central limit theorems and minimum-contrast estimators for linear stochastic evolution equations
• Title not available (Why is that?)
• On asymptotic properties of the parameter estimator for a type of SPDE
• Moderate Deviation for Parameter Estimation in the Rayleigh Diffusion Process
• ASYMPTOTIC PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR FOR STOCHASTIC PARABOLIC EQUATIONS WITH ADDITIVE FRACTIONAL BROWNIAN MOTION
• Drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process

This page was built for publication: On asymptotic properties of maximum likelihood estimators for parabolic stochastic PDE's

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1900233)