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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2020

Kód důvěrnosti údajů

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

Název periodika

Stochastics and Dynamics

ISSN

0219-4937

e-ISSN

—

Svazek periodika

20

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

SG - Singapurská republika

Počet stran výsledku

27

Strana od-do

—

Kód UT WoS článku

000537231900005

EID výsledku v databázi Scopus

2-s2.0-85072513325