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Mathematics > Statistics Theory

arXiv:2409.05416 (math)
[Submitted on 9 Sep 2024 ]

Title: Parameter estimation for fractional stochastic heat equations : Berry-Esséen bounds in CLTs

Title: 分数随机热方程的参数估计:CLTs中的Berry-Esséen界

Authors:Soukaina Douissi, Fatimah Alshahrani
Abstract: The aim of this work is to estimate the drift coefficient of a fractional heat equation driven by an additive space-time noise using the Maximum likelihood estimator (MLE). In the first part of the paper, the first $N$ Fourier modes of the solution are observed continuously over a finite time interval $[0, T ]$. The explicit upper bounds for the Wasserstein distance for the central limit theorem of the MLE is provided when $N \rightarrow \infty$ and/or $T \rightarrow \infty$. While in the second part of the paper, the $N$ Fourier modes are observed at uniform time grid : $t_i = i \frac{T}{M}$, $i=0,..,M,$ where $M$ is the number of time grid points. The consistency and asymptotic normality are studied when $T,M,N \rightarrow + \infty$ in addition to the rate of convergence in law in the CLT.
Abstract: 本工作的目的是使用最大似然估计量(MLE)估计由加性时空噪声驱动的分数热方程的漂移系数。 在论文的第一部分,解的前$N$个傅里叶模在有限时间区间$[0, T ]$内被连续观测。 当$N \rightarrow \infty$和/或$T \rightarrow \infty$时,提供了MLE中心极限定理的Wasserstein距离的显式上界。 在论文的第二部分,观察到均匀时间网格上的$N$傅里叶模式:$t_i = i \frac{T}{M}$,$i=0,..,M,$其中$M$是时间网格点的数量。当$T,M,N \rightarrow + \infty$时研究了一致性和渐近正态性,以及CLT中的收敛速度。
Subjects: Statistics Theory (math.ST) ; Probability (math.PR)
Cite as: arXiv:2409.05416 [math.ST]
  (or arXiv:2409.05416v1 [math.ST] for this version)
  https://doi.org/10.48550/arXiv.2409.05416
arXiv-issued DOI via DataCite

Submission history

From: Soukaina Douissi [view email]
[v1] Mon, 9 Sep 2024 08:17:32 UTC (20 KB)
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