Statistical inference for the stochastic heat equation
| dc.contributor.author | Bökman, Georg | |
| dc.contributor.department | Chalmers tekniska högskola / Institutionen för matematiska vetenskaper | sv |
| dc.contributor.examiner | Lang, Annika | |
| dc.date.accessioned | 2019-12-11T09:45:41Z | |
| dc.date.available | 2019-12-11T09:45:41Z | |
| dc.date.issued | 2019 | sv |
| dc.date.submitted | 2019 | |
| dc.description.abstract | This thesis is concerned with two p-variation type estimators for the parameters _ (diffusivity) and _2 (noise size) of the stochastic heat equation, proposed by Cialenco and Huang [3]. The theory of the stochastic heat equation is reviewed. The theory of pvariation type estimators is reviewed and p-variation type estimators relating to the stochastic heat equation are introduced. These estimators are investigated numerically. From the simulation results, it is conjectured that the estimators for _ as well as the estimators for _2 converge in mean and root mean square with convergence rate 1/2 | sv |
| dc.identifier.coursecode | MVEX03 | sv |
| dc.identifier.uri | https://hdl.handle.net/20.500.12380/300586 | |
| dc.language.iso | eng | sv |
| dc.setspec.uppsok | PhysicsChemistryMaths | |
| dc.subject | Stochastic heat equation, p-variation type estimators, statistical inference, stochastic PDEs. | sv |
| dc.title | Statistical inference for the stochastic heat equation | sv |
| dc.type.degree | Examensarbete för masterexamen | sv |
| dc.type.uppsok | H |