A characterization of asymptotic behaviour of maximum likelihood estimators for stochastic PDE's
type: Item
instance of: scholarly article
title: A characterization of asymptotic behaviour of maximum likelihood estimators for stochastic PDE's
zbMATH Open document ID: 0908.62021
author: K. Appert
published in: Mathematical Methods of Statistics
publication date: 1999-03-03T00:00:00Z
review text: The real parameters \(\nu_1,\dots,\nu_r\) are estimated by the maximum likelihood method for the system \[ du(t,x)=\Biggl[A_0+\sum^r_{k=1}\nu_kA_k\biggr]u(t,x)dt+BdW(t,x) u(0,x)=u_0(x) \] when \(A_0,\dots,A_k\) are linear differential operators and \(W\) is a cylindrical Wiener process in \(L^2([0,T]\times G)\) \((G\subset R^d).\) Efficiency, asymptotic and consistency properties are proved.
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 60H15
Mathematics Subject Classification ID: 62M15
Mathematics Subject Classification ID: 65C99
zbMATH DE Number: 1215620
zbMATH Keywords: maximum likelihood estimator
zbMATH Keywords: efficiency
reviewed by: Wilfried Grecksch
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 1215620