Related papers: Parameter Estimation in Diagonalizable Stochastic …
We study parametric estimation for second order linear parabolic stochastic partial differential equations (SPDEs) in two space dimensions driven by two types of $Q$-Wiener processes based on high frequency spatio-temporal data. First, we…
We deal with parameter estimation for a linear parabolic second-order stochastic partial differential equation in two space dimensions driven by two types of $Q$-Wiener processes based on high frequency data with respect to time and space.…
We construct a novel estimator for the diffusion coefficient of the limiting homogenized equation, when observing the slow dynamics of a multiscale model, in the case when the slow dynamics are of bounded variation. Previous research…
Hard-threshold estimators are popular in signal processing applications. We provide a detailed study of using hard-threshold estimators for estimating an unknown deterministic signal when additive white Gaussian noise corrupts observations.…
We consider statistics for stochastic evolution equations in Hilbert space with emphasis on stochastic partial differential equations (SPDEs). We observe a solution process under additional measurement errors and want to estimate a real or…
This paper addresses the estimation of uncertain distributed diffusion coefficients in elliptic systems based on noisy measurements of the model output. We formulate the parameter identification problem as an infinite dimensional…
We derive consistent and asymptotically normal estimators for the drift and volatility parameters of the stochastic heat equation driven by an additive space-only white noise when the solution is sampled discretely in the physical domain.…
We consider the estimation of a sparse parameter vector from measurements corrupted by white Gaussian noise. Our focus is on unbiased estimation as a setting under which the difficulty of the problem can be quantified analytically. We show…
We study a least square-type estimator for an unknown parameter in the drift coefficient of a stochastic differential equation with additive fractional noise of Hurst parameter H>1/2. The estimator is based on discrete time observations of…
We present results on parameter estimation and non-parameter estimation of the linear partially observed Gaussian system of stochastic differential equations. We propose new one-step estimators which have the same asymptotic properties as…
Damped sinusoidal oscillations are widely observed in many physical systems, and their analysis provides access to underlying physical properties. However, parameter estimation becomes difficult when the signal decays rapidly, multiple…
A parameter estimation method is devised for a slow-fast stochastic dynamical system, where often only the slow component is observable. By using the observations only on the slow component, the system parameters are estimated by working on…
We study the problem of parameter estimation for stochastic differential equations with small noise and fast oscillating parameters. Depending on how fast the intensity of the noise goes to zero relative to the homogenization parameter, we…
We consider linear stochastic differential-algebraic equations with constant coefficients and additive white noise. Due to the nature of this class of equations, the solution must be defined as a generalised process (in the sense of Dawson…
This paper takes a different approach for the distributed linear parameter estimation over a multi-agent network. The parameter vector is considered to be stochastic with a Gaussian distribution. The sensor measurements at each agent are…
We study the Langevin equation with stationary-increment Gaussian noise. We show the strong consistency and the asymptotic normality with Berry--Esseen bound of the so-called alternative estimator of the mean reversion parameter. The…
We consider the Cauchy problem for a stochastic scalar parabolic-hyperbolic equation in any space dimension with nonlocal, nonlinear, and possibly degenerate diffusion terms. The equations are nonlocal because they involve fractional…
Using ideas from paracontrolled calculus, we prove local well-posedness of a renormalized version of the three-dimensional stochastic nonlinear wave equation with quadratic nonlinearity forced by an additive space-time white noise on a…
We consider parametric estimation for a parabolic linear second order stochastic partial differential equation (SPDE) from high frequency data which are observed in time and space. By using thinned data obtained from the high frequency…
In this paper, we consider parameter estimation for stochastic differential equations driven by Wiener processes and compound Poisson processes. We assume unknown parameters corresponding to coefficients of the drift term, diffusion term,…