Nonparametric Inference for Noise Covariance Kernels in Parabolic SPDEs using Space-Time Infill-Asymptotics
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arXiv
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| Format: | Preprint |
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2025
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| _version_ | 1866914011225784320 |
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| author | Petersson, Andreas Schroers, Dennis |
| author_facet | Petersson, Andreas Schroers, Dennis |
| contents | We develop an asymptotic limit theory for nonparametric estimation of the noise covariance kernel in linear parabolic stochastic partial differential equations (SPDEs) with additive colored noise, using space-time infill asymptotics. The method employs discretized infinite-dimensional realized covariations and requires only mild regularity assumptions on the kernel to ensure consistent estimation and asymptotic normality of the estimator. On this basis, we construct omnibus goodness-of-fit tests for the noise covariance that are independent of the SPDE's differential operator. Our framework accommodates a variety of spatial sampling schemes and allows for reliable inference even when spatial resolution is coarser than temporal resolution. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2508_20947 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Nonparametric Inference for Noise Covariance Kernels in Parabolic SPDEs using Space-Time Infill-Asymptotics Petersson, Andreas Schroers, Dennis Statistics Theory 60H15, 62M20, 62G05, 62G10, 35R60 We develop an asymptotic limit theory for nonparametric estimation of the noise covariance kernel in linear parabolic stochastic partial differential equations (SPDEs) with additive colored noise, using space-time infill asymptotics. The method employs discretized infinite-dimensional realized covariations and requires only mild regularity assumptions on the kernel to ensure consistent estimation and asymptotic normality of the estimator. On this basis, we construct omnibus goodness-of-fit tests for the noise covariance that are independent of the SPDE's differential operator. Our framework accommodates a variety of spatial sampling schemes and allows for reliable inference even when spatial resolution is coarser than temporal resolution. |
| title | Nonparametric Inference for Noise Covariance Kernels in Parabolic SPDEs using Space-Time Infill-Asymptotics |
| topic | Statistics Theory 60H15, 62M20, 62G05, 62G10, 35R60 |
| url | https://arxiv.org/abs/2508.20947 |