分数阶随机热方程漂移参数的功率变化估计

IF 0.7 Q3 STATISTICS & PROBABILITY

Modern Stochastics-Theory and Applications Pub Date : 2019-12-17 DOI:10.15559/19-VMSTA141

Z. Khalil, C. Tudor

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引用次数: 12

摘要

我们定义了随机热方程漂移参数的功率变化估计量，该漂移参数具有分数阶拉普拉斯函数和加性高斯噪声，该高斯噪声在时间上是白的，在空间上是白的或相关的。我们证明了这些估计量是一致的和渐近正态的，并推导了它们在Wasserstein度量下的收敛速率。

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Estimation of the drift parameter for the fractional stochastic heat equation via power variation

We define power variation estimators for the drift parameter of the stochastic heat equation with the fractional Laplacian and an additive Gaussian noise which is white in time and white or correlated in space. We prove that these estimators are consistent and asymptotically normal and we derive their rate of convergence under the Wasserstein metric.

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来源期刊

Modern Stochastics-Theory and Applications STATISTICS & PROBABILITY-

CiteScore

1.30

自引率

50.00%

发文量

审稿时长

10 weeks