Convergence rate of maximum likelihood estimator of parameter in stochastic partial differential equation

DOI10.1016/J.JKSS.2015.01.001MaRDI QIDQ2355273zbMATH OpenOpenAlexWikidataFDO

Authors Yoon Tae Kim, Hyun Suk Park

Publication date 21 July 2015

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2015.01.001

zbMATH Keywords

cylindrical Brownian motionMalliavin calculusmaximum likelihood estimatormultiple stochastic integralstochastic partial differential equation

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Markov processes: estimation; hidden Markov models (62M05)

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Cites work

• scientific article; zbMATH DE number 431862 (Why is no real title available?)
• scientific article; zbMATH DE number 48405 (Why is no real title available?)
• On a Berry-Esseen type bound for the maximum likelihood estimator of a parameter for some stochastic partial differential equations
• Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields
• Stein's method on Wiener chaos
• The Malliavin Calculus and Related Topics

Cited in

(8)

• On a Berry-Esseen type bound for the maximum likelihood estimator of a parameter for some stochastic partial differential equations
• Berry-Esseen type bound of a sequence \(\left\{\frac{X_N}{Y_N}\right\}\) and its application
• Convergence of parameter sensitivity estimates in a stochastic experiment
• scientific article; zbMATH DE number 1009510 (Why is no real title available?)
• Optimal Berry-Esseen bound for statistical estimations and its application to SPDE
• Statistical inference for a stochastic wave equation with Malliavin–Stein method
• Kolmogorov bounds for drift parameter estimation of continuously-observed SPDEs
• Kolmogorov bounds for maximum likelihood drift estimation for discretely sampled SPDEs

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