The L2-approximation of occupation and local times of a symmetric $alpha$-stable L{e}vy process from high frequency discrete time observations is studied. The standard Riemann sum estimators are shown to be asymptotically efficient when 0 < $alpha$ $
le$ 1, but only rate optimal for 1 < $alpha$ $le$ 2. For this, the exact convergence of the L2-approximation error is proven with explicit constants.
As a concrete setting where stochastic partial differential equations (SPDEs) are able to model real phenomena, we propose a stochastic Meinhardt model for cell repolarisation and study how parameter estimation techniques developed for simple linear
SPDE models apply in this situation. We establish the existence of mild SPDE solutions and we investigate the impact of the driving noise process on pattern formation in the solution. We then pursue estimation of the diffusion term and show asymptotic normality for our estimator as the space resolution becomes finer. The finite sample performance is investigated for synthetic and real data.
This work contributes to the limited literature on estimating the diffusivity or drift coefficient of nonlinear SPDEs driven by additive noise. Assuming that the solution is measured locally in space and over a finite time interval, we show that the
augmented maximum likelihood estimator introduced in Altmeyer, Reiss (2020) retains its asymptotic properties when used for semilinear SPDEs that satisfy some abstract, and verifiable, conditions. The proofs of asymptotic results are based on splitting the solution in linear and nonlinear parts and fine regularity properties in $L^p$-spaces. The obtained general results are applied to particular classes of equations, including stochastic reaction-diffusion equations. The stochastic Burgers equation, as an example with first order nonlinearity, is an interesting borderline case of the general results, and is treated by a Wiener chaos expansion. We conclude with numerical examples that validate the theoretical results.
The approximation of integral type functionals is studied for discrete observations of a continuous It^o semimartingale. Based on novel approximations in the Fourier domain, central limit theorems are proved for $L^2$-Sobolev functions with fractiona
l smoothness. An explicit $L^2$-lower bound shows that already lower order quadrature rules, such as the trapezoidal rule and the classical Riemann estimator, are rate optimal, but only the trapezoidal rule is efficient, achieving the minimal asymptotic variance.
The coefficient function of the leading differential operator is estimated from observations of a linear stochastic partial differential equation (SPDE). The estimation is based on continuous time observations which are localised in space. For the as
ymptotic regime with fixed time horizon and with the spatial resolution of the observations tending to zero, we provide rate-optimal estimators and establish scaling limits of the deterministic PDE and of the SPDE on growing domains. The estimators are robust to lower order perturbations of the underlying differential operator and achieve the parametric rate even in the nonparametric setup with a spatially varying coefficient. A numerical example illustrates the main results.
Friendship and antipathy exist in concert with one another in real social networks. Despite the role they play in social interactions, antagonistic ties are poorly understood and infrequently measured. One important theory of negative ties that has r
eceived relatively little empirical evaluation is balance theory, the codification of the adage `the enemy of my enemy is my friend and similar sayings. Unbalanced triangles are those with an odd number of negative ties, and the theory posits that such triangles are rare. To test for balance, previous works have utilized a permutation test on the edge signs. The flaw in this method, however, is that it assumes that negative and positive edges are interchangeable. In reality, they could not be more different. Here, we propose a novel test of balance that accounts for this discrepancy and show that our test is more accurate at detecting balance. Along the way, we prove asymptotic normality of the test statistic under our null model, which is of independent interest. Our case study is a novel dataset of signed networks we collected from 32 isolated, rural villages in Honduras. Contrary to previous results, we find that there is only marginal evidence for balance in social tie formation in this setting.
The strong $L^2$-approximation of occupation time functionals is studied with respect to discrete observations of a $d$-dimensional c`adl`ag process. Upper bounds on the error are obtained under weak assumptions, generalizing previous results in the
literature considerably. The approach relies on regularity for the marginals of the process and applies also to non-Markovian processes, such as fractional Brownian motion. The results are used to approximate occupation times and local times. For Brownian motion, the upper bounds are shown to be sharp up to a log-factor.
The approximation of integral functionals with respect to a stationary Markov process by a Riemann-sum estimator is studied. Stationarity and the functional calculus of the infinitesimal generator of the process are used to get a better understanding
of the estimation error and to prove a general error bound. The presented approach admits general integrands and gives a unifying explanation for different rates obtained in the literature. Several examples demonstrate how the general bound can be related to well-known function spaces.
We consider noisy non-synchronous discrete observations of a continuous semimartingale with random volatility. Functional stable central limit theorems are established under high-frequency asymptotics in three setups: one-dimensional for the spectral
estimator of integrated volatility, from two-dimensional asynchronous observations for a bivariate spectral covolatility estimator and multivariate for a local method of moments. The results demonstrate that local adaptivity and smoothing noise dilution in the Fourier domain facilitate substantial efficiency gains compared to previous approaches. In particular, the derived asymptotic variances coincide with the benchmarks of semiparametric Cramer-Rao lower bounds and the considered estimators are thus asymptotically efficient in idealized sub-experiments. Feasible central limit theorems allowing for confidence are provided.
