The Combined Estimator for Stochastic Equations on Graphs with Fractional Noise
Abstract
:1. Introduction
2. Problem Setup
3. Preliminaries
3.1. Fractional Brownian Motion and Its Calculus
3.2. Solution to sEE in Physical and Frequency Domain
4. Combined Estimator
4.1. Combined Estimator in Physical Domain
4.2. Combined Estimator in Diagonal Case
4.3. Consistency of the Combined Estimator in Diagonal Case
5. Simulation Study
5.1. Algorithm for Simulations
- Simulate N-dimensional cylindrical fBm as N independent real-valued fBm.
- Calculate by formula (12).
- Find eigenvalues and eigenvectors of .
- Transform initial condition into frequency domain .
- Calculate the whole solution in the frequency domain by formula (14).
- Transform the solution back to physical domain by .
5.2. Examples
5.3. Results and Discussion
5.3.1. Examples 1 and 2
5.3.2. Example 3
6. Conclusions
Author Contributions
Funding
Acknowledgments
Conflicts of Interest
References
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Initial Condition | T | H | Example 1 | Example 2 |
---|---|---|---|---|
(0, 100, 0, 10) | 1 | 0.5 | 0.0132944 | 0.0126748 |
(0, 100, 0, 10) | 1 | 0.75 | 0.0227583 | 0.0201745 |
(0, 100, 0, 10) | 10 | 0.5 | 0.0134145 | 0.0125359 |
(0, 100, 0, 10) | 10 | 0.75 | 0.019374 | 0.016389 |
(0, 100, 0, 10) | 100 | 0.75 | 0.0180549 | 0.016476 |
(0, 100, 0, 10) | 1 | misspecified | 0.0118246 | 0.0101789 |
(0, 100, 0, 10) | 10 | misspecified | 0.0128522 | 0.0114258 |
(10, 10, 10, 10) | 1 | 0.5 | 1.04229 | 0.637036 |
(10, 10, 10, 10) | 1 | 0.75 | 0.654375 | 0.396853 |
(10, 10, 10, 10) | 10 | 0.5 | 0.215363 | 0.139379 |
(10, 10, 10, 10) | 10 | 0.75 | 0.217963 | 0.157472 |
(10, 10, 10, 10) | 100 | 0.75 | 0.0714899 | 0.0515372 |
(10, 10, 10, 10) | 1 | misspecified | 1.46259 | 1.18714 |
(10, 10, 10, 10) | 10 | misspecified | 0.461442 | 0.568978 |
N | RMSE |
---|---|
3 | 0.999612 |
5 | 0.756201 |
10 | 0.508276 |
20 | 0.472542 |
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Kříž, P.; Szała, L. The Combined Estimator for Stochastic Equations on Graphs with Fractional Noise. Mathematics 2020, 8, 1766. https://doi.org/10.3390/math8101766
Kříž P, Szała L. The Combined Estimator for Stochastic Equations on Graphs with Fractional Noise. Mathematics. 2020; 8(10):1766. https://doi.org/10.3390/math8101766
Chicago/Turabian StyleKříž, Pavel, and Leszek Szała. 2020. "The Combined Estimator for Stochastic Equations on Graphs with Fractional Noise" Mathematics 8, no. 10: 1766. https://doi.org/10.3390/math8101766
APA StyleKříž, P., & Szała, L. (2020). The Combined Estimator for Stochastic Equations on Graphs with Fractional Noise. Mathematics, 8(10), 1766. https://doi.org/10.3390/math8101766