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arXiv · 1904.10884

Drift Estimation for Discretely Sampled SPDEs

Igor Cialenco·Francisco Delgado-Vences·Hyun-Jung Kim
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Abstract

The aim of this paper is to study the asymptotic properties of the maximum likelihood estimator (MLE) of the drift coefficient for fractional stochastic heat equation driven by an additive space-time noise. We consider the traditional for stochastic partial differential equations statistical experiment when the measurements are performed in the spectral domain, and in contrast to the existing literature, we study the asymptotic properties of the maximum likelihood (type) estimators (MLE) when both, the number of Fourier modes and the time go to infinity. In the first part of the paper we consider the usual setup of continuous time observations of the Fourier coefficients of the solutions, and show that the MLE is consistent, asymptotically normal and optimal in the mean-square sense. In the second part of the paper we investigate the natural time discretization of the MLE, by assuming that the first N Fourier modes are measured at M time grid points, uniformly spaced over the time interval [0,T]. We provide a rigorous asymptotic analysis of the proposed estimators when N goes to infinity and/or T, M go to infinity. We establish sufficient conditions on the growth rates of N, M and T, that guarantee consistency and asymptotic normality of these estimators.

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BibTeXRIS

Igor Cialenco, Francisco Delgado-Vences, Hyun-Jung Kim. 2019-04-24. Drift Estimation for Discretely Sampled SPDEs. https://arxiv.org/abs/1904.10884

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