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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.
  • 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. (en)
Title
  • Asymptotic Properties of the Maximum Likelihood Estimator for Stochastic Parabolic Equations with Additive Fractional Brownian Motion
  • Asymptotic Properties of the Maximum Likelihood Estimator for Stochastic Parabolic Equations with Additive Fractional Brownian Motion (en)
skos:prefLabel
  • Asymptotic Properties of the Maximum Likelihood Estimator for Stochastic Parabolic Equations with Additive Fractional Brownian Motion
  • Asymptotic Properties of the Maximum Likelihood Estimator for Stochastic Parabolic Equations with Additive Fractional Brownian Motion (en)
skos:notation
  • RIV/49777513:23520/09:00501487!RIV10-MSM-23520___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • Z(MSM4977751301)
http://linked.open...iv/cisloPeriodika
  • 2
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 304294
http://linked.open...ai/riv/idVysledku
  • RIV/49777513:23520/09:00501487
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • Asymptotic normality; ergodicity; parameter estimation; stochastic evolution equations (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • SG - Singapurská republika
http://linked.open...ontrolniKodProRIV
  • [97A99C9D1B00]
http://linked.open...i/riv/nazevZdroje
  • Stochastics and Dynamics
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 9
http://linked.open...iv/tvurceVysledku
  • Pospíšil, Jan
  • Cialenco, Igor
  • Lototsky, Sergey V.
http://linked.open...n/vavai/riv/zamer
issn
  • 0219-4937
number of pages
http://localhost/t...ganizacniJednotka
  • 23520
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