Spectral asymptotics of some functionals arising in statistical inference for SPDEs

DOI10.1016/S0304-4149(98)00079-9MaRDI QIDQ1593587zbMATH OpenFDO

Authors B. Rozovskii, S. V. Lototsky

Publication date 17 January 2001

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0304-4149(98)00079-9

zbMATH Keywords

asymptotic normalitycylindrical Wiener processparameter estimation

Mathematics Subject Classification ID

Applications of operator theory in probability theory and statistics (47N30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Random fields; image analysis (62M40)

Review text

Let \(M\) be a \(d\)-dimensional compact orientable \(C^\infty \) manifold, \(L\) an elliptic, positive definite, self-adjoint differential operator of order \(2m\) with real \(C^\infty\) coefficients on \(M\). Let \(A\), \(B\), \(N\) be differential operators (all with real \(C^\infty\) coefficients) on \(M\) of orders less than \(2m\), and let \(W\) be a standard cylindrical Wiener process in \(L^2(M)\). A random field \(u\) on \(M\) defined by a stochastic partial differential equation \[ (1)\qquad\roman du(t) + [\theta _1 (L+A) + \theta _2 B + N]u(t) = \roman dW(t),\quad 0<t\leq T,\quad u(0) = u_0, \] is studied, the task being to estimate one of the parameters \(\theta _1\), \(\theta _2\) assuming that the other is known. Closely related problems were solved by \textit{M. Huebner} and \textit{B. Rozovskii} [Probab. Theory Relat. Fields 103, No. 2, 143-163 (1995; Zbl 0831.60070)] and by \textit{L. Piterbarg} and \textit{B. Rozovskii} [Math. Methods Stat. 6, No. 2, 200-223 (1997; Zbl 0884.65140)] under the additional assumption that the differential operators in (1) commute. In this paper this hypothesis is relaxed. Quasi maximum likelihood estimates of the unknown parameter based on a finite number of spatial Fourier coefficients of the solution are proposed and their consistency, asymptotic normality and asymptotic efficiency is established under suitable non-degeneracy assumptions.

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Cited in

(15)

• Optimal statistical estimators of spectral density in \(L^ 2\)
• Asymptotic upper bounds for the risk of estimators of linear functionals of a spectral density function
• Statistical inference for SPDEs: an overview
• Asymptotic analysis of a kernel estimator for parabolic SPDE's with time-dependent coefficients.
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• Drift estimation for stochastic reaction-diffusion systems
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