Nonparametric estimation for linear SPDEs from local measurements

DOI10.1214/20-AAP1581zbMath1476.60099arXiv1903.06984MaRDI QIDQ2240807

Randolf Altmeyer, Markus Reiss

Publication date: 4 November 2021

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.06984

zbMATH Keywords

Gaussian processnonparametric estimationfourth moment theoremFeynman-Kaclocalised scaling limits

Mathematics Subject Classification ID

Gaussian processes (60G15) Nonparametric estimation (62G05) Second-order elliptic equations (35J15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (11)

Pathwise least-squares estimator for linear SPDEs with additive fractional noise ⋮ Nonparametric regression for locally stationary random fields under stochastic sampling design ⋮ Parameter estimation for semilinear SPDEs from local measurements ⋮ Nonparametric calibration for stochastic reaction-diffusion equations based on discrete observations ⋮ Efficient parameter estimation for parabolic SPDEs based on a log-linear model for realized volatilities ⋮ Data assimilation -- mathematical foundation and applications. Abstracts from the workshop held February 20--26, 2022 ⋮ Statistics of stochastic differential equations on manifolds and stratified spaces. Abstracts from the workshop held October 3--9, 2021 (hybrid meeting) ⋮ Drift estimation for stochastic reaction-diffusion systems ⋮ Parameter estimation for SPDEs based on discrete observations in time and space ⋮ Parametric inference for small variance and long time horizon McKean-Vlasov diffusion models ⋮ Parameter Estimation in an SPDE Model for Cell Repolarization

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