A space-consistent version of the minimum-contrast estimator for linear stochastic evolution equations

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60461373%3A22340%2F20%3A43918580" target="_blank" >RIV/60461373:22340/20:43918580 - isvavai.cz</a>

Result on the web

<a href="https://arxiv.org/abs/1901.00653" target="_blank" >https://arxiv.org/abs/1901.00653</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1142/S0219493720500197" target="_blank" >10.1142/S0219493720500197</a>

Result language

angličtina

Original language name

A space-consistent version of the minimum-contrast estimator for linear stochastic evolution equations

Original language description

A new modification of the minimum-contrast estimator (the weighted MCE) of drift parameter in a linear stochastic evolution equation with additive fractional noise is introduced in the setting of the spectral approach (Fourier coordinates of the solution are observed). The reweighing technique, which utilizes the self-similarity property, achieves strong consistency and asymptotic normality of the estimator as number of coordinates increases and time horizon is fixed (the space consistency). In this respect, this modification outperforms the standard (non-weighted) MCE. Compared to other drift estimators studied within spectral approach (e.g., maximum likelihood, trajectory fitting), the weighted MCE is rather universal. It covers discrete time as well as continuous-time observations and it is applicable to processes with any value of Hurst index H (0, 1). To the author&apos;s best knowledge, this is so far the first space-consistent estimator studied for H &lt; 1/2. © 2020 World Scientific Publishing Company.

Czech name

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Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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OECD FORD branch

10103 - Statistics and probability

Project

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Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2020

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

20

Issue of the periodical within the volume

3

Country of publishing house

SG - SINGAPORE

Number of pages

27

Pages from-to

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UT code for WoS article

000537231900005

EID of the result in the Scopus database

2-s2.0-85072513325