Quasi-likelihood Estimation in Fractional Levy SPDEs from Poisson Sampling
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 inten...
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| Format: | Article |
| Language: | English |
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Ada Academica
2022-04-01
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| Series: | European Journal of Mathematical Analysis |
| Online Access: | https://adac.ee/index.php/ma/article/view/86 |
| Summary: | 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. |
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| ISSN: | 2733-3957 |