Asymptotic Properties of the Maximum Likelihood Estimator for Stochastic Parabolic Equations with Additive Fractional Brownian Motion

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F09%3A00501487" target="_blank" >RIV/49777513:23520/09:00501487 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Asymptotic Properties of the Maximum Likelihood Estimator for Stochastic Parabolic Equations with Additive Fractional Brownian Motion

Original language description

A parameter estimation problem is considered for a diagonaliazable stochastic evolution equation using a finite number of the Fourier coefficients of the solution. The equation is driven by additive noise that is white in space and fractional in time with the Hurst parameter grater than one half. The objective is to study asymptotic properties of the maximum likelihood estimator as the number of the Fourier coefficients increases. A necessary and sufficient condition for consistency and asymptotic normality is presented in terms of the eigenvalues of the operators in the equation.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BA - General mathematics

OECD FORD branch

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Project

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Continuities

Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2009

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Stochastics and Dynamics

ISSN

0219-4937

e-ISSN

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Volume of the periodical

9

Issue of the periodical within the volume

2

Country of publishing house

SG - SINGAPORE

Number of pages

17

Pages from-to

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UT code for WoS article

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EID of the result in the Scopus database

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