ZIB

Hits per page

hit 1 - 1 | 1 hit

Select All Export

Electronic Resource

Asymptotic Properties of the Maximum Likelihood Estimator for Stochastic PDEs Disturbed by Small Noise (1999)

Huebner, M.

Springer

Statistical inference for stochastic processes 2 (1999), S. 57-68

add to mindlist on the mindlist

Details

ISSN: 1572-9311

Keywords: maximum likelihood estimator ; asymptotic efficiency ; stochastic partial differential equations

Source: Springer Online Journal Archives 1860-2000

Topics: Mathematics

Notes: Abstract Consider a parabolic stochastic partial differential equation perturbed by small noise observed on a time interval [0,T]. We construct the maximum likelihood estimators of the coefficients of the operators involved in these equations based on partial observations in the form of diffusion processes and show the asymptotic efficiency for loss functions with polynomial majorant as the variance goes to zero.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1023/A:1009990504925

Library	Location	Call Number	Volume/Issue/Year	Availability

Others were also interested in ...

Paper (German National Licenses)

Fulltext

hit 1 - 1 | 1 hit