A space-consistent version of the minimum-contrast estimator for linear stochastic evolution equations

DOI10.1142/S0219493720500197zbMATH Open1451.60068arXiv1901.00653WikidataQ127251005 ScholiaQ127251005MaRDI QIDQ5114816FDOQ5114816

Pavel Kříž

Publication date: 26 June 2020

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Abstract: A new modification of the minimum-contrast estimator (the weighted MCE) of drift parameter in a linear stochastic evolution equation with additive fractional noise is introduced in the setting of the spectral approach (Fourier coordinates of the solution are observed). The reweighing technique, which utilizes the self-similarity property, achieves strong consistency and asymptotic normality of the estimator as number of coordinates increases and time horizon is fixed (the space consistency). In this respect, this modification outperforms the standard (non-weighted) minimum-contrast estimator. Compared to other drift estimators studied within spectral approach (eg. maximum likelihood, trajectory fitting), the weighted MCE is rather universal. It covers discrete time as well as continuous time observations and it is applicable to processes with any value of Hurst index $Hin(0,1)$. To the author's best knowledge, this is so far the first space-consistent estimator studied for $H<1/2$.

Full work available at URL: https://arxiv.org/abs/1901.00653

zbMATH Keywords

spectral approachfractional SPDEsminimum-contrast estimator

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Non-Markovian processes: estimation (62M09) Fractional processes, including fractional Brownian motion (60G22)

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Cited In (4)

• A minimal contrast estimator for the linear fractional stable motion
• Pathwise least-squares estimator for linear SPDEs with additive fractional noise
• Asymptotic properties of the minimum contrast estimators for projections of inhomogeneous space-time shot-noise Cox processes.
• Central limit theorems and minimum-contrast estimators for linear stochastic evolution equations

Uses Software

• YUIMA

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