Asymptotic Properties of the Maximum Likelihood Estimator for Stochastic Parabolic Equations with Additive Fractional Brownian Motion

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dc.creatorCialenco, Igor
dc.creatorLototsky, Sergey
dc.creatorPospisil, Jan
dc.date2008-04-02
dc.date.accessioned2026-07-07T09:29:54Z
dc.date.available2026-07-07T09:29:54Z
dc.descriptionA parameter estimation problem is considered for a diagonaliazable stochastic evolution equation using a finite number of the Fourier coefficients of the solution. The equation is driven by additive noise that is white in space and fractional in time with the Hurst parameter $H\geq 1/2$. The objective is to study asymptotic properties of the maximum likelihood estimator as the number of the Fourier coefficients increases. A necessary and sufficient condition for consistency and asymptotic normality is presented in terms of the eigenvalues of the operators in the equation.
dc.identifierhttps://arxiv.org/abs/0804.0407
dc.identifierhttp://arxiv.org/abs/0804.0407
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/157960
dc.subjectProbability
dc.subjectStatistics Theory
dc.subject60H15; 62F12
dc.titleAsymptotic Properties of the Maximum Likelihood Estimator for Stochastic Parabolic Equations with Additive Fractional Brownian Motion
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