The Combined Estimator for Stochastic Equations on Graphs with Fractional Noise
In the present paper, we study the problem of estimating a drift parameter in stochastic evolution equations on graphs. We focus on equations driven by fractional Brownian motions, which are particularly useful e.g., in biology or neuroscience. We derive a novel estimator (the combined estimator) an...
| 發表在: | Mathematics |
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| Main Authors: | , |
| 格式: | Article |
| 語言: | 英语 |
| 出版: |
MDPI AG
2020-10-01
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| 主題: | |
| 在線閱讀: | https://www.mdpi.com/2227-7390/8/10/1766 |
| 總結: | In the present paper, we study the problem of estimating a drift parameter in stochastic evolution equations on graphs. We focus on equations driven by fractional Brownian motions, which are particularly useful e.g., in biology or neuroscience. We derive a novel estimator (the combined estimator) and prove its strong consistency in the long-span asymptotic regime with a discrete-time sampling scheme. The promising performance of the combined estimator for finite samples is examined under various scenarios by Monte Carlo simulations. |
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| ISSN: | 2227-7390 |