Parameter estimation for SPDEs based on discrete observations in time and space

25 Nov 2019 Hildebrandt Florian Trabs Mathias

Parameter estimation for a parabolic linear stochastic partial differential equation in one space dimension is studied observing the solution field on a discrete grid in a fixed bounded domain. Considering an infill asymptotic regime in both coordinates, we prove central limit theorems for realized quadratic variations based on temporal and spatial increments as well as on double increments in time and space... (read more)

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Categories


  • STATISTICS THEORY
  • PROBABILITY
  • STATISTICS THEORY