Small dispersion asymptotics for an SPDE in two space dimensions using triple increments

IF 0.8 4区数学 Q3 STATISTICS & PROBABILITY

Journal of Statistical Planning and Inference Pub Date : 2025-08-09 DOI:10.1016/j.jspi.2025.106333

Yozo Tonaki , Yusuke Kaino , Masayuki Uchida

引用次数: 0

Abstract

We consider parametric estimation for a second order linear parabolic stochastic partial differential equation (SPDE) in two space dimensions driven by a

Q

-Wiener process with a small noise based on high frequency spatio-temporal data. We first provide estimators of the diffusive and advective parameters in the SPDE using temporal and spatial increments. We then construct an estimator of the reaction parameter in the SPDE based on an approximate coordinate process. We also give simulation results of the proposed estimators.

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二维空间中使用三倍增量的SPDE的小色散渐近性

研究了基于高频时空数据的二阶线性抛物型随机偏微分方程（SPDE）的小噪声Q-Wiener过程在二维空间中的参数估计。我们首先利用时间和空间增量给出了SPDE中扩散和平流参数的估计。然后基于近似坐标过程构造了SPDE反应参数的估计量。最后给出了所提估计器的仿真结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Statistical Planning and Inference 数学-统计学与概率论

CiteScore

2.10

自引率

11.10%

发文量

审稿时长

3-6 weeks

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