Parameter estimation in diagonalizable bilinear stochastic parabolic equations

DOI10.1007/S11203-008-9031-6zbMATH Open1205.62143arXiv0709.1135OpenAlexW1999174876MaRDI QIDQ625294FDOQ625294

Authors: Igor Cialenco, S. V. Lototsky 

Publication date: 15 February 2011

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Abstract: A parameter estimation problem is considered for a stochastic parabolic equation with multiplicative noise under the assumption that the equation can be reduced to an infinite system of uncoupled diffusion processes. From the point of view of classical statistics, this problem turns out to be singular not only for the original infinite-dimensional system but also for most finite-dimensional projections. This singularity can be exploited to improve the rate of convergence of traditional estimators as well as to construct completely new closed-form exact estimator.

Full work available at URL: https://arxiv.org/abs/0709.1135

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zbMATH Keywords

multiplicative noiseSPDEregular modelssingular models

Mathematics Subject Classification ID

Point estimation (62F10) Inference from stochastic processes (62M99) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Cited In (17)

• Statistical analysis of some evolution equations driven by space-only noise
• Hypothesis testing for stochastic PDEs driven by additive noise
• Bayesian estimations for diagonalizable bilinear SPDEs
• Infinite dimensional parameter identification for stochastic parabolic systems
• Statistical inference for SPDEs: an overview
• Trajectory fitting estimators for SPDEs driven by additive noise
• Parameter estimation for SPDEs with multiplicative fractional noise
• Parameter estimation for the stochastic heat equation with multiplicative noise from local measurements
• The Parameter Estimation Problem for Parabolic Equations and Discontinuous Observation Operators
• Diffusivity estimation for activator-inhibitor models: theory and application to intracellular dynamics of the actin cytoskeleton
• Parameter estimation for stochastic evolution equations with non-commuting operators
• Parameter estimation for discretely sampled stochastic heat equation driven by space-only noise
• Title not available (Why is that?)
• Ergodicity and drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process of the second kind
• Statistical inference for stochastic parabolic equations: a spectral approach
• Parameter estimation for stochastic parabolic equations: Asymptotic properties of a two-dimensional projection-based estimator
• Drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process

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