Parameter estimation for a linear parabolic SPDE model in two space dimensions with a small noise
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Publication:6155089
DOI10.1007/S11203-023-09301-2arXiv2206.10363OpenAlexW4388849328MaRDI QIDQ6155089FDOQ6155089
Authors: Yozo Tonaki, Yusuke Kaino, Masayuki Uchida 
Publication date: 16 February 2024
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Abstract: We study parameter estimation for a linear parabolic second-order stochastic partial differential equation (SPDE) in two space dimensions with a small dispersion parameter using high frequency data with respect to time and space. We set two types of -Wiener processes as a driving noise. We provide minimum contrast estimators of the coefficient parameters of the SPDE appearing in the coordinate process of the SPDE based on the thinned data in space, and approximate the coordinate process based on the thinned data in time. Moreover, we propose an estimator of the drift parameter using the fact that the coordinate process is the Ornstein-Uhlenbeck process and statistical inference for diffusion processes with a small noise.
Full work available at URL: https://arxiv.org/abs/2206.10363
adaptive estimation\(Q\)-Wiener processhigh frequency datasmall noisestochastic partial differential equations in two space dimensions
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