A note on error estimation for hypothesis testing problems for some linear SPDEs

DOI10.1007/S40072-014-0036-4zbMATH Open1322.60108arXiv1312.4596OpenAlexW2963892242MaRDI QIDQ487680FDOQ487680

Authors: Igor Cialenco, Liaosha Xu 

Publication date: 23 January 2015

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Abstract: The aim of the present paper is to estimate and control the Type I and Type II errors of a simple hypothesis testing problem of the drift/viscosity coefficient for stochastic fractional heat equation driven by additive noise. Assuming that one path of the first $N$ Fourier modes of the solution is observed continuously over a finite time interval $[0,T]$, we propose a new class of rejection regions and provide computable thresholds for $T$, and $N$, that guarantee that the statistical errors are smaller than a given upper bound. The considered tests are of likelihood ratio type. The main ideas, and the proofs, are based on sharp large deviation bounds. Finally, we illustrate the theoretical results by numerical simulations.

Full work available at URL: https://arxiv.org/abs/1312.4596

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zbMATH Keywords

hypothesis testinglarge deviationsmaximum likelihood estimatorerror estimateslikelihood ratioadditive space-time white noisestochastic fractional heat equation

Mathematics Subject Classification ID

Large deviations (60F10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Non-Markovian processes: hypothesis testing (62M07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Parameter estimation in stochastic differential equations.
• Taylor approximations for stochastic partial differential equations
• Sharp Large Deviations for the Ornstein--Uhlenbeck Process
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• Hypothesis testing for stochastic PDEs driven by additive noise
• Parameter estimation for the stochastically perturbed Navier-Stokes equations
• Statistical inference for stochastic parabolic equations: a spectral approach

Cited In (3)

• Hypothesis testing for stochastic PDEs driven by additive noise
• Statistical inference for SPDEs: an overview
• Trajectory fitting estimators for SPDEs driven by additive noise

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