Estimation for the damping factor of the driving process of an SPDE in two space dimensions
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arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2024
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| Acceso en línea: | |
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| _version_ | 1866917708996542464 |
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| author | Tonaki, Yozo Kaino, Yusuke Uchida, Masayuki |
| author_facet | Tonaki, Yozo Kaino, Yusuke Uchida, Masayuki |
| contents | We study parametric estimation for a second order linear parabolic stochastic partial differential equation (SPDE) in two space dimensions driven by a $Q$-Wiener process based on high frequency spatio-temporal data. We give an estimator of the damping parameter of the $Q$-Wiener process of the SPDE based on quadratic variations with temporal and spatial increments. We also provide simulation results of the proposed estimator. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_00953 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Estimation for the damping factor of the driving process of an SPDE in two space dimensions Tonaki, Yozo Kaino, Yusuke Uchida, Masayuki Statistics Theory We study parametric estimation for a second order linear parabolic stochastic partial differential equation (SPDE) in two space dimensions driven by a $Q$-Wiener process based on high frequency spatio-temporal data. We give an estimator of the damping parameter of the $Q$-Wiener process of the SPDE based on quadratic variations with temporal and spatial increments. We also provide simulation results of the proposed estimator. |
| title | Estimation for the damping factor of the driving process of an SPDE in two space dimensions |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/2407.00953 |