Prakasa Rao, B. L. S. (2001) Nonparametric inference for a class of stochastic partial differential equations II Statistical Inference for Stochastic Processes, 4 (1). pp. 41-52. ISSN 1387-0874
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Official URL: http://www.springerlink.com/content/g292w1107257nq...
Related URL: http://dx.doi.org/10.1023/A:1017524901430
Abstract
Consider the stochastic partial differential equation du∈(t, x) = θ(t)Δu∈(t, x) dt + ∈ dWQ(t,x), 0 ≤ t ≤ T. where Δ = ∂2/∂x2, θ ∈ Θ and Θ is a class of positive valued functions. We obtain an estimator for the linear multiplier θ(t) and establish the consistency, rate of convergence and asymptotic normality of this estimator as ∈ → 0.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Springer. |
| Keywords: | Nonparametric Estimation; Stochastic Partial Differential Equations; Kernel Method; Linear Multiplier |
| ID Code: | 37578 |
| Deposited On: | 26 Apr 2011 12:43 |
| Last Modified: | 26 Apr 2011 12:43 |
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