Generalized k-variations and Hurst parameter estimation for the fractional wave equation via Malliavin calculus

DOI10.1016/J.JSPI.2019.10.008MaRDI QIDQ2301111zbMATH OpenOpenAlexFDO

Authors Radomyra Shevchenko, Meryem Slaoui, Ciprian A. Tudor

Publication date 28 February 2020

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

Full work available at URL https://arxiv.org/abs/1903.02369

zbMATH Keywords

central limit theoremfractional Brownian motiongeneralized variationHurst parameter estimationStein-Malliavin calculusstochastic wave equation

Mathematics Subject Classification ID

Gaussian processes (60G15) Self-similar stochastic processes (60G18) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Point estimation (62F10)

Abstract: We analyze the generalized $k$-variations for the solution to the wave equation driven by an additive Gaussian noise which behaves as a fractional Brownian with Hurst parameter $H>frac12$ in time and which is white in space. The $k$-variations are defined along {it filters} of any order $pgeq1$ and of any length. We show that the sequence of generalized $k$-variation satisfies a Central Limit Theorem when $p>H+frac14$ and we estimate the rate of convergence for it via the Stein-Malliavin calculus. The results are applied to the estimation of the Hurst index. We construct several consistent estimators for $H$ and these estimators are analyzed theoretically and numerically.

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Cited in

(10)

• Correlation structure, quadratic variations and parameter estimation for the solution to the wave equation with fractional noise
• Parameter estimation for SPDEs based on discrete observations in time and space
• Wavelet analysis for the solution to the wave equation with fractional noise in time and white noise in space
• Quadratic variation and drift parameter estimation for the stochastic wave equation with space-time white noise
• On quadratic variations for the fractional-white wave equation
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• Quadratic variations for Gaussian isotropic random fields on the sphere
• Non-parametric estimation for the stochastic wave equation
• Quadratic variation for the solution of the nonlinear stochastic wave equation
• Non-parametric estimation for stochastic reaction-diffusion equations with spatial ergodicity

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