Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Parameter Estimation for an Infinite Dimensional Stochastic Differential Equation

  • Published : 1996.06.01
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Abstract

When we deal with a Hilbert space-valued Stochastic Differential Equation (SDE) (or Stochastic Partial Differential Equation (SPDE)), depending on some unknown parameters, the solution usually has a Fourier series expansion. In this situation we consider the maximum likelihood method for the statistical estimation problem and derive the asymptotic properties (consistency and normality) of the Maximum Likelihood Estimator (MLE).

Keywords

References

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