Estimation for the damping factor of the driving process of an SPDE in two space dimensions
Statistics Theory
2024-07-02 v1 Statistics Theory
Abstract
We study parametric estimation for a second order linear parabolic stochastic partial differential equation (SPDE) in two space dimensions driven by a -Wiener process based on high frequency spatio-temporal data. We give an estimator of the damping parameter of the -Wiener process of the SPDE based on quadratic variations with temporal and spatial increments. We also provide simulation results of the proposed estimator.
Keywords
Cite
@article{arxiv.2407.00953,
title = {Estimation for the damping factor of the driving process of an SPDE in two space dimensions},
author = {Yozo Tonaki and Yusuke Kaino and Masayuki Uchida},
journal= {arXiv preprint arXiv:2407.00953},
year = {2024}
}