Asymptotic Properties of the Maximum Likelihood Estimator for Stochastic Parabolic Equations with Additive Fractional Brownian Motion

Igor Cialenco, Sergey Lototsky, Jan Pospisil

Published 2008-04-02Version 1

A parameter estimation problem is considered for a diagonaliazable stochastic evolution equation using a finite number of the Fourier coefficients of the solution. The equation is driven by additive noise that is white in space and fractional in time with the Hurst parameter $H\geq 1/2$. The objective is to study asymptotic properties of the maximum likelihood estimator as the number of the Fourier coefficients increases. A necessary and sufficient condition for consistency and asymptotic normality is presented in terms of the eigenvalues of the operators in the equation.