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

DOI10.1080/17442508.2019.1576688zbMath1495.60010arXiv1805.10964OpenAlexW2804462485WikidataQ128489731 ScholiaQ128489731MaRDI QIDQ5087044

Pavel Kříž, Bohdan 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

parameter estimationasymptotic normalityWiener chaosstochastic evolution equationsfractional Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

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

Related Items

Gaussian and hermite Ornstein–Uhlenbeck processes ⋮ 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 ⋮ Parameter-dependent filtering of Gaussian processes in Hilbert spaces ⋮ A space-consistent version of the minimum-contrast estimator for linear stochastic evolution equations ⋮ Filtering of Gaussian processes in Hilbert spaces

Uses Software

• YUIMA

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process
• Stein's method on Wiener chaos
• Parameter estimates for linear partial differential equations with fractional boundary noise
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Ergodicity and parameter estimates for Infinite-dimensional fractional Ornstein-Uhlenbeck process
• Semigroups of linear operators and applications to partial differential equations
• Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
• Asymptotic theory for rough fractional Vasicek models
• Fractional {O}rnstein-{U}hlenbeck processes
• On asymptotic properties of maximum likelihood estimators for parabolic stochastic PDE's
• Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
• Central limit theorems for sequences of multiple stochastic integrals
• Optimal Berry-Esseen rates on the Wiener space: the barrier of third and fourth cumulants
• Normal Approximations with Malliavin Calculus
• FRACTIONAL BROWNIAN MOTION AND STOCHASTIC EQUATIONS IN HILBERT SPACES
• Limiting measure and stationarity of solutions to stochastic evolution equations with Volterra noise
• The optimal fourth moment theorem
• ASYMPTOTIC PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR FOR STOCHASTIC PARABOLIC EQUATIONS WITH ADDITIVE FRACTIONAL BROWNIAN MOTION