Parameter estimations for SPDEs with multiplicative fractional noise

2010/02/20 by Igor Cialenco, Cialenco, Igor
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #60G22 #60H15 #62F12 #Advanced Statistical Process Monitoring #FOS: Mathematics #Probability (math.PR) #Statistical Distribution Estimation and Applications #Statistics Theory (math.ST) #Stochastic processes and financial applications #math.PR #math.ST #msc:60G22 #msc:60H15 #msc:62F12 #stat.TH

paper · pdf · doi:10.48550/arxiv.1002.3911

openalex publication_date 2010/02/20 · arxiv created 2010/05/26 · arxiv updated 2010/05/27 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We study parameter estimation problem for diagonalizable stochastic partial differential equations driven by a multiplicative fractional noise with any Hurst parameter H∈(0,1). Two classes of estimators are investigated: traditional maximum likelihood type estimators, and a new class called closed-form exact estimators. Finally the general results are applied to stochastic heat equation driven by a fractional Brownian motion.

Citations

• Parameter estimation in diagonalizable bilinear stochastic parabolic equations

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