4 papers
Nonparametric Diffusivity Estimation for the Stochastic Heat Equation from Noisy Observations
Gregor Pasemann, Markus ReiÃ
We estimate nonparametrically the spatially varying diffusivity of a stochastic heat equation from observations perturbed by additional noise. To that end, we employ a two-step loc…
Rank tests for time-varying covariance matrices observed under noise
Markus ReiÃ, Lars Winkelmann
We consider a -dimensional continuous martingale with quadratic variation matrix and develop tests for the rank of its spot covari…
Early Stopping for Regression Trees
Ratmir Miftachov, Markus ReiÃ
We develop early stopping rules for growing regression tree estimators. The fully data-driven stopping rule is based on monitoring the global residual norm. The best-first search a…
Information bounds for inference in stochastic evolution equations observed under noise
Gregor Pasemann, Markus ReiÃ
We consider statistics for stochastic evolution equations in Hilbert space with emphasis on stochastic partial differential equations (SPDEs). We observe a solution process under a…