Nonparametric estimation for linear SPDEs from local measurements

03/16/2019

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by   Randolf Altmeyer, et al.

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We estimate the coefficient function of the leading differential operator in a linear stochastic partial differential equation (SPDE). The estimation is based on continuous time observations which are localised in space. For the asymptotic regime with fixed time horizon and with the spatial resolution of the observations tending to zero, we provide rate-optimal estimators and establish scaling limits of the deterministic PDE and of the SPDE on growing domains. The estimators are robust to lower order perturbations of the underlying differential operator and achieve the parametric rate even in the nonparametric setup with a spatially varying coefficient.