Parameter estimation for a linear parabolic SPDE model in two space dimensions with a small noise

06/21/2022
by   Yozo Tonaki, et al.
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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 Q-Wiener processes as a driving noise. We provide minimum contrast estimators of the coefficient parameters of the SPDE appearing in the coordinate process of the SPDE based on the thinned data in space, and approximate the coordinate process based on the thinned data in time. Moreover, we propose an estimator of the drift parameter using the fact that the coordinate process is the Ornstein-Uhlenbeck process and statistical inference for diffusion processes with a small noise.

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