Parameter estimations for SPDEs with multiplicative fractional noise
Probability
2010-05-27 v2 Statistics Theory
Statistics Theory
Abstract
We study parameter estimation problem for diagonalizable stochastic partial differential equations driven by a multiplicative fractional noise with any Hurst parameter . 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.
Keywords
Cite
@article{arxiv.1002.3911,
title = {Parameter estimations for SPDEs with multiplicative fractional noise},
author = {Igor Cialenco},
journal= {arXiv preprint arXiv:1002.3911},
year = {2010}
}