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

DOI10.1016/j.jkss.2015.01.001zbMath1319.60142WikidataQ115346420 ScholiaQ115346420MaRDI QIDQ2355273

Hyun Suk Park, Yoon Tae Kim

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

Malliavin calculus; maximum likelihood estimator; stochastic partial differential equation; multiple stochastic integral; cylindrical Brownian motion

Mathematics Subject Classification ID

62M05: Markov processes: estimation; hidden Markov models

60H30: Applications of stochastic analysis (to PDEs, etc.)

60H05: Stochastic integrals

60H07: Stochastic calculus of variations and the Malliavin calculus

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

Related Items

Berry-Esseen type bound of a sequence \(\left\{\frac{X_N}{Y_N}\right\}\) and its application, Optimal Berry-Esseen bound for statistical estimations and its application to SPDE

Cites Work

• Unnamed Item
• Unnamed Item
• Stein's method on Wiener chaos
• Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields
• On a Berry-Esseen type bound for the maximum likelihood estimator of a parameter for some stochastic partial differential equations
• The Malliavin Calculus and Related Topics