Zobrazeno 1 - 10
of 26
pro vyhledávání: '"Tonaki, Yozo"'
We consider parametric estimation for a second order linear parabolic stochastic partial differential equation (SPDE) in two space dimensions driven by a $Q$-Wiener process with a small noise based on high frequency spatio-temporal data. We first pro
Externí odkaz:
http://arxiv.org/abs/2408.02224
We study parametric estimation for a second order linear parabolic stochastic partial differential equation (SPDE) in two space dimensions driven by a $Q$-Wiener process based on high frequency spatio-temporal data. We give an estimator of the dampin
Externí odkaz:
http://arxiv.org/abs/2407.00953
We consider parameter estimation of the reaction term for a second order linear parabolic stochastic partial differential equation in two space dimensions driven by a $Q$-Wiener process under small diffusivity. We first construct an estimator of the
Externí odkaz:
http://arxiv.org/abs/2404.02513
We deal with parameter estimation for a linear parabolic second-order stochastic partial differential equation in two space dimensions driven by two types of $Q$-Wiener processes based on high frequency data with respect to time and space. We propose
Externí odkaz:
http://arxiv.org/abs/2304.09441
We study parameter estimation for a linear parabolic second-order stochastic partial differential equation (SPDE) in two space dimensions with a small dispersion parameter using high frequency data with respect to time and space. We set two types of
Externí odkaz:
http://arxiv.org/abs/2206.10363
Parameter estimation for linear parabolic SPDEs in two space dimensions based on high frequency data
We consider parameter estimation for a linear parabolic second-order stochastic partial differential equation (SPDE) in two space dimensions driven by two types $Q$-Wiener processes based on high frequency data in time and space. We first estimate th
Externí odkaz:
http://arxiv.org/abs/2201.09036
Autor:
Tonaki, Yozo, Uchida, Masayuki
We deal with the change point problem in ergodic diffusion processes based on high frequency data. Tonaki et al. (2020, 2021) studied the change point problem for the ergodic diffusion process model. However, the change point problem for the drift pa
Externí odkaz:
http://arxiv.org/abs/2104.11438
We treat the change point problem in ergodic diffusion processes from discrete observations. Tonaki et al. (2020) proposed adaptive tests for detecting changes in the diffusion and drift parameters in ergodic diffusion models. When any changes are de
Externí odkaz:
http://arxiv.org/abs/2102.06871
We consider the adaptive test for the parameter change in discretely observed ergodic diffusion processes based on the cusum test. Using two test statistics based on the two quasi-log likelihood functions of the diffusion parameter and the drift para
Externí odkaz:
http://arxiv.org/abs/2004.13998
Autor:
Tonaki, Yozo, Uchida, Masayuki
Publikováno v:
In Stochastic Processes and their Applications April 2023 158:1-39
