Parameter estimation for fractional stochastic heat equations : Berry-Ess\'een bounds in CLTs
Statistics Theory
2024-09-10 v1 Probability
Statistics Theory
Abstract
The aim of this work is to estimate the drift coefficient of a fractional heat equation driven by an additive space-time noise using the Maximum likelihood estimator (MLE). In the first part of the paper, the first Fourier modes of the solution are observed continuously over a finite time interval . The explicit upper bounds for the Wasserstein distance for the central limit theorem of the MLE is provided when and/or . While in the second part of the paper, the Fourier modes are observed at uniform time grid : , where is the number of time grid points. The consistency and asymptotic normality are studied when in addition to the rate of convergence in law in the CLT.
Keywords
Cite
@article{arxiv.2409.05416,
title = {Parameter estimation for fractional stochastic heat equations : Berry-Ess\'een bounds in CLTs},
author = {Soukaina Douissi and Fatimah Alshahrani},
journal= {arXiv preprint arXiv:2409.05416},
year = {2024}
}