Central limit theorems and minimum-contrast estimators for linear stochastic evolution equations

DOI10.1080/17442508.2019.1576688MaRDI QIDQ5087044zbMATH OpenOpenAlexWikidataFDO

Authors Pavel Kříž, B. Maslowski

Publication date 8 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1805.10964

zbMATH Keywords

asymptotic normalityparameter estimationWiener chaosstochastic evolution equationsfractional Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22)

Abstract: Central limit theorems and asymptotic properties of the minimum-contrast estimators of the drift parameter in linear stochastic evolution equations driven by fractional Brownian motion are studied. Both singular ($H<frac12)$ and regular ($H>frac12)$ types of fractional Brownian motion are considered. Strong consistency is achieved by ergodicity of the stationary solution. The fundamental tool for the limit theorems and asymptotic normality (shown for Hurst parameter $H<frac34$) is the so-called $4^{th}$ moment theorem considered on the second Wiener chaos. This technique provides also the Berry-Esseen-type bounds for the speed of the convergence. The general results are illustrated for parabolic equations with distributed and pointwise fractional noises.

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Cited in

(7)

• Parameter-dependent filtering of Gaussian processes in Hilbert spaces
• Berry-Esseen bounds of second moment estimators for Gaussian processes observed at high frequency
• Pathwise least-squares estimator for linear SPDEs with additive fractional noise
• Optimal parameter estimation for linear SPDEs from multiple measurements
• A space-consistent version of the minimum-contrast estimator for linear stochastic evolution equations
• Gaussian and hermite Ornstein–Uhlenbeck processes
• Filtering of Gaussian processes in Hilbert spaces

Describes a project that uses

Uses Software

• YUIMA

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