Correlation structure, quadratic variations and parameter estimation for the solution to the wave equation with fractional noise

DOI10.1214/18-EJS1488zbMath1402.60043OpenAlexW2898669589WikidataQ129000853 ScholiaQ129000853MaRDI QIDQ1616328

Marwa Khalil, Ciprian A. Tudor

Publication date: 1 November 2018

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1540951344

zbMATH Keywords

fractional Brownian motioncentral limit theoremalmost sure central limit theoremquadratic variationstochastic wave equationHurst parameter estimationStein-Malliavin calculus

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Related Items (4)

On quadratic variations for the fractional-white wave equation ⋮ Generalized \(k\)-variations and Hurst parameter estimation for the fractional wave equation via Malliavin calculus ⋮ Wavelet analysis for the solution to the wave equation with fractional noise in time and white noise in space ⋮ Quadratic variation and drift parameter estimation for the stochastic wave equation with space-time white noise

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