English

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 NN Fourier modes of the solution are observed continuously over a finite time interval [0,T][0, T ]. The explicit upper bounds for the Wasserstein distance for the central limit theorem of the MLE is provided when NN \rightarrow \infty and/or TT \rightarrow \infty. While in the second part of the paper, the NN Fourier modes are observed at uniform time grid : ti=iTMt_i = i \frac{T}{M}, i=0,..,M,i=0,..,M, where MM is the number of time grid points. The consistency and asymptotic normality are studied when T,M,N+T,M,N \rightarrow + \infty 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}
}