Asymptotic statistical inference for a stochastic heat flow problem

DOI10.1016/0167-7152(85)90015-XzbMath0589.62075OpenAlexW2030540672MaRDI QIDQ1074277

Wilfried Loges, Timo Koski

Publication date: 1985

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(85)90015-x

zbMATH Keywords

consistencynormalityWiener processesunbounded operatorasymptoticmaximum likelihood estimatorGirsanov's theoremabsolute continuitycentral limit theorem forHilbert space valued stochastic differentialsHilbert space valued stochastic integralsstochastic heat flowsurface conductance parameters

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of statistics (62P99) Groups and semigroups of linear operators (47D03) Probability theory on linear topological spaces (60B11)

Related Items (8)

On minimum-contrast estimation for hilbert space-valued stochastic differential equations ⋮ Statistical inference for SPDEs: an overview ⋮ Nonparametric calibration for stochastic reaction-diffusion equations based on discrete observations ⋮ Stochastic discontinuous Galerkin methods (SDGM) based on fluctuation-dissipation balance ⋮ Parameter estimation for stochastic wave equation based on observation window ⋮ Parameter estimation for SPDEs based on discrete observations in time and space ⋮ Parameter estimation for stochastic partial differential equations of second order ⋮ The Bernstein-von Mises theorem and spectral asymptotics of Bayes estimators for parabolic SPDEs

Cites Work

• The contiguity of probability measures and asymptotic inference in continuous time stationary diffusions and Gaussian processes with known covariance
• Girsanov's theorem in Hilbert space and an application to the statistics of Hilbert space-valued stochastic differential equations
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