Quasi-likelihood Estimation in Fractional Levy SPDEs from Poisson Sampling | Zendy

Jaya P. N. Bishwal | Zendy

AI Assistant Blog Pricing

Home ZAIA Blog

Open Access

Quasi-likelihood Estimation in Fractional Levy SPDEs from Poisson Sampling

Author(s) -

Jaya P. N. Bishwal

Publication year - 2022

Publication title -

european journal of mathematical analysis

Language(s) - English

Resource type - Journals

ISSN - 2733-3957

DOI - 10.28924/ada/ma.2.15

Subject(s) - mathematics , consistency (knowledge bases) , estimator , poisson distribution , asymptotic distribution , compound poisson process , quasi likelihood , estimation theory , stochastic differential equation , statistics , poisson process , count data , geometry

We study the quasi-likelihood estimator of the drift parameter in the stochastic partial differential equations driven by a cylindrical fractional Levy process when the process is observed at the arrival times of a Poisson process. We use a two stage estimation procedure. We first estimate the intensity of the Poisson process. Then we plug-in this estimate in the quasi-likelihood to estimate the drift parameter. We obtain the strong consistency and the asymptotic normality of the estimators.

The content you want is available to Zendy users.

Already have an account? Click here to sign in.

Having issues? You can contact us here

Accelerating Research