Parametric estimation for linear parabolic SPDEs in two space dimensions
based on temporal and spatial increments
Metrika (Heidelberg) (MH), 2023
Main:34 Pages
Bibliography:1 Pages
14 Tables
Abstract
We deal with parameter estimation for a linear parabolic second-order stochastic partial differential equation in two space dimensions driven by two types of -Wiener processes based on high frequency data with respect to time and space. We propose minimum contrast estimators of the coefficient parameters based on temporal and spatial squared increments, and provide adaptive estimators of the coefficient parameters based on an approximate coordinate process. We also give an example and simulation results of the proposed estimators.
View on arXivComments on this paper
