Parametric estimation for a parabolic linear SPDE model based on discrete observations
نویسندگان
چکیده
We consider parametric estimation for a parabolic linear second order stochastic partial differential equation (SPDE) from high frequency data which are observed in time and space. By using thinned obtained the data, adaptive estimators of coefficient parameters including volatility parameter proposed. Moreover, we give some examples simulation results SPDE model based on data.
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ژورنال
عنوان ژورنال: Journal of Statistical Planning and Inference
سال: 2021
ISSN: ['1873-1171', '0378-3758']
DOI: https://doi.org/10.1016/j.jspi.2020.05.004