Nonparametric estimation for linear SPDEs from local measurements

DOI10.1214/20-AAP1581zbMATH Open1476.60099arXiv1903.06984MaRDI QIDQ2240807FDOQ2240807

Authors: Randolf Altmeyer, Markus Reiß 

Publication date: 4 November 2021

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: The coefficient function of the leading differential operator is estimated from observations of a linear stochastic partial differential equation (SPDE). The estimation is based on continuous time observations which are localised in space. For the asymptotic regime with fixed time horizon and with the spatial resolution of the observations tending to zero, we provide rate-optimal estimators and establish scaling limits of the deterministic PDE and of the SPDE on growing domains. The estimators are robust to lower order perturbations of the underlying differential operator and achieve the parametric rate even in the nonparametric setup with a spatially varying coefficient. A numerical example illustrates the main results.

Full work available at URL: https://arxiv.org/abs/1903.06984

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zbMATH Keywords

nonparametric estimationGaussian processfourth moment theoremFeynman-Kaclocalised scaling limits

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Gaussian processes (60G15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Second-order elliptic equations (35J15)

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• Nonparametric calibration for stochastic reaction-diffusion equations based on discrete observations
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• Nonparametric regression for locally stationary random fields under stochastic sampling design
• Data assimilation -- mathematical foundation and applications. Abstracts from the workshop held February 20--26, 2022
• Efficient parameter estimation for parabolic SPDEs based on a log-linear model for realized volatilities

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