Parameter estimation for second-order SPDEs in multiple space dimensions
Patrick Bossert
Abstract:We analyse a second-order SPDE model in multiple space dimensions and develop estimators for the parameters of this model based on discrete observations of a solution in time and space on a bounded domain. While parameter estimation for one and two spatial dimensions was established in recent literature, this is the first work which generalizes the theory to a general, multi-dimensional framework.Our approach builds upon realized volatilities, enabling the construction of an oracle estimator for volatility wit… Show more
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