Sankhyā : The Indian Journal of Statistics

2002, Volume 64, Series A, Pt.1, pp 1-15

NONPARAMETRIC INFERENCE FOR A CLASS OF

STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS BASED
ON DISCRETE OBSERVATIONS

By B.L.S. PRAKASA RAO

Indian Statistical Institute, New Delhi

SUMMARY. Consider the stochastic partial differential equations of the type

du (t, x) = (4u (t, x) + u (t, x))dt +  θ(t) dWQ (t, x), 0 ≤ t ≤ T
and
du (t, x) = 4u (t, x)dt +  θ(t) (I − 4)−1/2 dW (t, x), 0 ≤ t ≤ T
∂2
where 4 = ∂x2
,θ ∈ Θ and Θ is a class of positive valued functions such that θ2 (t) ∈ L2 (R).
We obtain an estimator for the function θ(t) based on the Fourier coefficients ui (t), 1 ≤
i ≤ N of the random field u (t, x) observed at discrete times and study its asymptotic
properties.

1. Introduction
Stochastic partial differential equations (SPDE) are used for stochastic
modelling , for instance, in the study of neuronal behviour in neurophysiology
and in building stochastic models of turbulence (cf. Kallianpur and Xiong,
1995). The theory of SPDE is investigated in Ito (1984), Rozovskii (1990)
and De prato and Zabczyk (1992) among others.
Huebner et al. (1993) started the investigation of maximum likelihood
estimation of parameters for a class of SPDE and extended their results to
parabolic SPDE in Huebner and Rozovskii (1995). Bernstein -von Mises the-
orems were developed for such SPDE in Prakasa Rao (1998, 2000b) following
the techniques in Prakasa Rao (1981). Asymptotic properties of Bayes esti-
mators of parameters for SPDE were discussed in Prakasa Rao (1998, 2000b).
Statistical inference for diffusion type processes and semimartingales in gen-
eral is studied in Prakasa Rao (1999a,b).

Paper received February 2001.

AMS (1991) subject classification 2000: Primary 62M40; secondary 60H15.
Key words and phrases. Nonparametric estimation, stochastic partial differential equa-
tions, diffusion coefficient, wavelets.
2 b.l.s. prakasa rao

The problem of nonparametric estimation of a linear mutiplier for some

classes of SPDE’s is discussed in Prakasa Rao (2000a, 2001a) using the meth-
ods of nonparametric inference following the approach of Kutoyants (1994).
In all the papers cited earlier, it was assumed that a continuous observation
of the random field u (t, x) satisfying the SPDE over the region [0, 1]×[0, T ] is
available. It is obvious that this assumption is not feasible and the problem
of interest is to develop methods of parametric and nonparametric infer-
ence based on a set of observations of the random field observed at discrete
times t and at discrete positions x. Methods of estimation based on such
data seem to lead to equations which are computationally difficult to solve.
We now consider a simplified problem. Suppose we are able to observe the
Fourier coefficients ui (t) of u (t, x) at discrete times. Parametric estima-
tion for some classes of SPDE’s based on such discrete data is investigated
in Prakasa Rao (2000c, 2001b) when the parameter is involved either in the
“trend” term of the SPDE or in the “trend” as well as in the “forcing” terms
of the SPDE. We now discuss nonparametric estimation of a function θ(t)
involved in the “forcing” term for a class of SPDE’s. The problem of esti-
mation of the diffusion coefficient in a SDE from discrete observations has
attracted lot of attention recently in view of the applications in mathemati-
cal finance especially for modelling interest rates. Our work here deals with
a similar probem for a SPDE. A review of recent results on parametric and
nonparametric inference for SPDE’s is given in Prakasa Rao (2001c).

2. Estimation from Discrete Observations: Example I

2.1 Preliminaries. Let (Ω, F, P ) be a probability space and consider the

process u (t, x), 0 ≤ x ≤ 1, 0 ≤ t ≤ T governed by the stochastic partial
differential equation

du (t, x) = (4u (t, x) + u (t, x))dt +  θ(t) dWQ (t, x) (2.1)
∂ 2
where 4 = ∂x 2 . Suppose that θ(.) is a positive valued function with θ(t) ∈
C ([0, ∞)) for some m ≥ 1. Further suppose that θ2 (.) ∈ L2 (R) and that
m

the function θ(.) has a compact support contained in the interval [−, T + ]
for some  > 0.
Further suppose the initial and the boundary conditions are given by
(
u (0, x) = f (x), f ∈ L2 [0, 1]
(2.2)
u (t, 0) = u (t, 1) = 0, 0 ≤ t ≤ T
 stochastic pde with discrete observations 3

and Q is the nuclear covariance operator for the Wiener process WQ (t, x)
taking values in L2 [0, 1] so that

WQ (t, x) = Q1/2 W (t, x)

and W (t, x) is a cylindrical Brownian motion in L2 [0, 1]. Then, it is known

that (cf. Rozovskii (1990), Kallianpur and Xiong (1995))
∞
X 1/2
WQ (t, x) = qi ei (x)Wi (t) a.s. (2.3)
i=1

where {Wi (t), 0 ≤ t ≤ T }, i ≥ 1 are independent one - dimensional stan-

dard Wiener processes and {ei } is a complete orthonormal system in L2 [0, 1]
consisting of eigen vectors of Q and {qi } eigen values of Q.
We assume that the operator Q is a special covariance operator Q with
ek = sin(kπx), k ≥ 1 and λk = (πk)2 , k ≥ 1. Then {ek } is a complete
orthonormal system with the eigen values qi = (1 + λi )−1 , i ≥ 1 for the
operator Q and Q = (I − 4)−1 . Note that

dWQ = Q1/2 dW. (2.4)

We define a solution u (t, x) of (2.1) as a formal sum

∞
X
u (t, x) = ui (t)ei (x) (2.5)
i=1

(cf. Rozovskii (1990)). It can be checked that the Fourier coefficient ui (t)
satisfies the stochastic differential equation

dui (t) = (1 − λi )ui (t)dt + √ θ(t)dWi (t), 0 ≤ t ≤ T (2.6)
λi + 1
with the initial condition
Z 1
ui (0) = vi , vi = f (x)ei (x)dx. (2.7)
0

2.2 Estimation. We now consider the problem of estimation of the func-

tion θ(t), 0 ≤ t ≤ T based on the observation of the Fourier coefficients
ui (tj ), tj = j2−n , j = 0, 1, . . . , [2n T ], 1 ≤ i ≤ N, or equivalently based on
(N )
the observations u (tj , x), tj = j2−n , j = 0, 1, . . . , [2n T ] of the projection
of the process u (t, x) onto the subspace spanned by {e1 , . . . , eN } in L2 [0, 1].
Here [x] denotes the largest integer less than or equal to x.
4 b.l.s. prakasa rao

We will at first construct an estimator of θ(.) based on the observations

{ui (tj ), tj = j2−n , j = 0, 1, . . . , [2n T ]}. Our technique follows the methods
in Genon-Catalot et al. (1992).
Let {Vj , −∞ < j < ∞} be an increasing sequence of closed subspaces of
L2 (R). Suppose the family {Vj , −∞ < j < ∞} is an r-regular multiresolu-
tion analysis of L2 (R) such that the associated scale function φ and wavelet
function ψ are compactly supported and belong to C r (R). For a short in-
troduction to the properties of wavelets and multiresolution analysis, see
Prakasa Rao (1999a).
Let Wj be the subspace defined by

Vj+1 = Vj ⊕ Wj (2.8)

and define

φj,k (x) = 2j/2 φ(2j x − k), −∞ < j, k < ∞ (2.9)

ψj,k (x) = 2j/2 ψ(2j x − k), −∞ < j, k < ∞. (2.10)

Then (i) for all −∞ < j < ∞, the collection of functions {φj,k , −∞ < k <
∞} is an orthonormal basis of Vj ; (ii) for all −∞ < j < ∞, the collection
of functions {ψj,k , −∞ < k < ∞} is an orthonormal basis of Wj ; and (iii)
the collection of functions {ψj,k , −∞ < j, k < ∞} is an orthonormal basis of
L2 (R).
In view of the earlier assumptions made on the function θ(t), it follows
that the function θ(t) belongs to the Sobolev space H m (R). Let j(n) be an
increasing sequence of positive integers tending to infinity as n → ∞. The
space L2 (R) has the following decomposition:

L2 (R) = Vj(n) ⊕ (⊕j≥j(n) Wj ). (2.11)

The function θ2 (t) can be represented in the form

∞
X X
θ2 (t) = µj(n),k φj(n),k (t) + νj,k ψj,k (t) (2.12)
k=−∞ j≥j(n),−∞<k<∞

where Z
µj,k = θ2 (t)φj,k (t)dt (2.13)
R
and Z
νj,k = θ2 (t)ψj,k (t)dt. (2.14)
R
 stochastic pde with discrete observations 5

We will now define estimators of the coefficients µj,k based on the observa-
tions {ui (tr ), tr = r2−n , j = 0, 1, . . . , [2n T ]}. Define
−1
(i) λi + 1 MX
µ̂j,k = φj,k (tr )(ui (tr+1 ) − ui (tr ))2 (2.15)
2 r=0

where M = [2n T ].
The subspace Vj is not finite dimensional. However, the functions θ2 and
the functions φ are compactly supported. Hence, for each resolution j, the
set of all k such that µj,k 6= 0 and the set of all k such that µ̂j,k 6= 0 is a
finite set Lj depending only on the constant T and the support of φ and the
cardinality of the set is O(2j ).
Define the estimator of θ2 (t) by
X (i)
θ̂i2 (t) = µ̂j(n),k φj(n),k (t) (2.16)
k∈Lj(n)
X (i)
= µ̂j(n),k φj(n),k (t). (2.17)
−∞<k<∞

Note that for any function f such that

Z T
f (t)θ2 (t)dt < ∞,
0

it can be shown that

M −1
2 T
Z
2 p
X
f (tr )(ui (tr+1 ) − ui (tr )) → f (t)θ2 (t)dt as n → ∞.
r=0
λi + 1 0

Hence
(i) p
µ̂j,k → µj,k as n → ∞. (2.18)
Let h(.) be a continuous function on [0, T ] with compact support contained
0
in (0, T ) and belonging to the Sobolev space H m (R) with m0 > 12 . Let hj
be the projection of h on the space Vj . Further more suppose that

r ∧ m + r ∧ m0 > 2, j(n) = [αn] (2.19)

with
1
(2(r ∧ m + r ∧ m0 ))−1 ≤ α < . (2.20)
4
Note that r is the regularity of the multiresolution analysis, m is the exponent
of the Soblev space to which θ2 belongs to and m0 is the exponent of the
6 b.l.s. prakasa rao

Soblev space to which h belongs to. Applying the Proposition 3.1 of Genon-
Catalot et al. (1992), we obtain that the following representation holds:
Z T
n/2
Jin ≡ 2 h(t)(θ̂i2 (t) − θ2 (t))dt
0
M
X −1 Z tr+1 Z tr+1
n/2 2
= 2 hj(n) (tr )[( θ(s) dWi (s)) − θ2 (s) ds] + Rin
r=0 tr tr

where Rin = op (1) as n → ∞. Further more

Z T
L
Jin → N (0, 2 h2 (t)θ4 (t) dt) as n → ∞ (2.21)
0

by Theorem 3.1 of Genon-Catalot et al. (1992). Note the estimators {θ̂i (t),
i ≥ 1} are independent estimators of θ(t) for any fixed t since the processes
{Wi , i ≥ 1} are independent Wiener processes.

Let γ(t) be a nonnegative continuous function with support contained in

the interval [0, T ]. Define
Z T
Qin = E{ γ(t)(θ̂i2 (t) − θ2 (t))2 dt}. (2.22)
0

Note that Qin is the integrated mean square error of the estimator θ̂i2 (t)
of the function θ2 (t) corresponding to the weight function γ(t). It can be
written in the form
2
Qin = Bin + Vin (2.23)
where Z T
2
Bin = γ(t)(E θ̂i2 (t) − θ2 (t))2 dt (2.24)
0
is the integrated square of the bias term with the weight function γ(t) and
Z T
Vin = E{ γ(t)(θ̂i2 (t) − E θ̂i2 (t))2 dt} (2.25)
0

is the integrated square of the variance term with the weight function γ(t).
Let Z T
Din = E{ (θ̂i2 (t) − E θ̂i2 (t))2 dt} (2.26)
0
and suppose that sup{γ(t) : t ∈ [0, T ]} ≤ K. Further suppose that j(n)− n2 →
−∞. Then it follows, by Theorem 4.1 of Genon-Catalot et al. (1992), that
 stochastic pde with discrete observations 7

there exists a constant Ci depending on , λi and the functions φ, γ and θ2

such that
2
Bin ≤ Ci (24j(n)−2n + 2−2j(n)(m∧r) + 2−n ) (2.27)

and Z T
Din = 2j(n)−n 2 θ4 (t)dt + o(2j(n)−n ). (2.28)
0

Further more
Vin ≤ KDin . (2.29)

Let
N
2 1 X
θ̃N (t) = θ̂2 (t). (2.30)
N i=1 i

It is obvious that, for any function h satisfying the conditions stated above,
and for any fixed integer N ≥ 1,
Z T
n/2 2
2 h(t)(θ̃N (t) − θ2 (t))dt
0
N
−1
X
= N Jin
i=1
N M −1 Z tr+1
−1
X X
n/2
= N {2 hj(n) (tr )[( θ(s) dWi (s))2
i=1 r=0 tr
Z tr+1 N
θ2 (s) ds]} + N −1
X
− Rin
tr i=1
M −1 N Z tr+1
−1
X X
n/2
= 2 hj(n) (tr ){N [( θ(s) dWi (s))2
r=0 i=1 tr
Z tr+1 N
θ2 (s) ds]} + N −1
X
− Rin .
tr i=1

From the independence of the estimators θ̂i (t), 1 ≤ i ≤ N, it follows from

the Theorem 3.1 of Genon-Catalot et al. (1992) that
Z T Z T
L
2n/2 2
h(t)(θ̃N (t) − θ2 (t))dt → N (0, 2N −1 h2 (t)θ4 (t) dt) as n → ∞.
0 0
(2.31)
We have the following theorem.
8 b.l.s. prakasa rao

Theorem 2.1. Under the conditions stated above , the estimator θ̃N 2 (t)

of θ2 (t)
satisfies the following property for any function h(t) as defined earlier:
Z T Z T
L
2n/2 2
h(t)(θ̃N (t) − θ2 (t))dt → N (0, 2N −1 h2 (t)θ4 (t) dt) as n → ∞.
0 0
(2.32)
Let γ(t) be a nonnegative continuous function with support contained in the
interval [0, T ]. Define
Z T
2
Qn = E{ γ(t)(θ̃N (t) − θ2 (t))2 dt}. (2.33)
0

Note that Qn is the integrated mean square error of the estimator θ̃N 2 (t)
2
of the function θ (t) corresponding to the weight function γ(t). It can be
written in the form
Qn = Bn2 + Vn (2.34)
where Z T
Bn2 = 2
γ(t)(E θ̃N (t) − θ2 (t))2 dt (2.35)
0
is the integrated square of the bias term with the weight function γ(t) and
Z T
2 2
Vn = E{ γ(t)(θ̃N (t) − E θ̃N (t))2 dt} (2.36)
0

is the integrated square of the variance term with the weight function γ(t).
Let Z T
2 2
Dn = E{ (θ̃N (t) − E θ̃N (t))2 dt}. (2.37)
0
We have the following theorem from the estimates on {Bin , 1 ≤ i ≤ N } and
on {Din , 1 ≤ i ≤ N } given above.

Theorem 2.2. Suppose that j(n) − n2 → −∞. Then there exists a

constant CN depending on N, φ, γ, θ2 such that

Bn2 ≤ CN (24j(n)−2n + 2−2j(n)(m∧r) + 2−n ) (2.38)

and Z T
Dn = N −1 2j(n)−n 2 θ4 (t)dt + o(N −1 2j(n)−n ). (2.39)
0
Further more
Vn ≤ KDn (2.40)
where K = sup{γ(t) : 0 ≤ t ≤ T }.
 stochastic pde with discrete observations 9

3. Estimation from Discrete Observations: Example II

3.1 Preliminaries. Let (Ω, F, P ) be a probability space and consider the

process u (t, x), 0 ≤ x ≤ 1, 0 ≤ t ≤ T governed by the stochastic partial
differential equation

du (t, x) = 4u (t, x)dt +  θ(t) (I − 4)−1/2 dW (t, x) (3.1)

∂2
where 4 = ∂x2
. Suppose that θ(.) is a positive valued function with θ(t) ∈
C m ([0, ∞]) for some m ≥ 1. Further suppose that θ2 (.) ∈ L2 (R) and that
the function θ(.) has a compact support contained in the interval [−, T + ]
for some  > 0.
Further suppose the initial and the boundary conditions are given by
(
u (0, x) = f (x), f ∈ L2 [0, 1]
(3.2)
u (t, 0) = u (t, 1) = 0, 0 ≤ t ≤ T.

We define a solution u (t, x) of (3.1) as a formal sum

∞
X
u (t, x) = ui (t)ei (x) (3.3)
i=1

(cf. Rozovskii, 1990). Following the arguments given in the Section 2, it can
be checked that the Fourier coefficient ui (t) satisfies the stochastic differen-
tial equation

dui (t) = −λi ui (t)dt + √ θ(t)dWi (t), 0 ≤ t ≤ T (3.4)
λi + 1
with the initial condition
Z 1
ui (0) = vi , vi = f (x)ei (x)dx. (3.5)
0

3.2 Estimation. We now consider the problem of estimation of the func-

tion θ(t), 0 ≤ t ≤ T based on the observation of the Fourier coefficients
ui (tj ), tj = j2−n , j = 0, 1, . . . , [2n T ], 1 ≤ i ≤ N, or equivalently based on
(N )
discrete observations u (tj , x), tj = j2−n , j = 0, 1, . . . , [2n T ] of the projec-
tion of the process u (t, x) onto the subspace spanned by {e1 , . . . , eN } in
L2 [0, 1].
10 b.l.s. prakasa rao

We will at first construct an estimator of θ(.) based on the observations

{ui (tj ), tj = j2−n , j = 0, 1, . . . , [2n T ]}. Our technique again follows the
methods in Genon-Catalot et al. (1992) using the method of wavelets. We
adopt the same notation as in Section 2.
In view of the earlier assumptions made on the function θ(t), it follows
that the function θ(t) belongs to the Sobolev space H m (R). Let j(n) be an
increasing sequence of positive integers tending to infinity as n → ∞. The
space L2 (R) has the following decomposition:

L2 (R) = Vj(n) ⊕ (⊕j≥j(n) Wj ). (3.6)

The function θ2 (t) can be represented in the form

∞
X X
θ2 (t) = µj(n),k φj(n),k (t) + νj,k ψj,k (t) (3.7)
k=−∞ j≥j(n),−∞<k<∞

where Z
µj,k = θ2 (t)φj,k (t)dt (3.8)
R

and Z
νj,k = θ2 (t)ψj,k (t)dt. (3.9)
R

We will now define estimators of the coefficients µj,k based on the observa-
tions {ui (tr ), tr = r2−n , j = 0, 1, . . . , [2n T ]}. Define

−1
(i) λi + 1 MX
µ̂j,k = φj,k (tr )(ui (tr+1 ) − ui (tr ))2 (3.10)
2 r=0

where M = [2n T ].
The subspace Vj is not finite dimensional. However, the functions θ2 and
the functions φ are compactly supported. Hence, for each resolution j, the
set of all k such that µj,k 6= 0 and the set of all k such that µ̂j,k 6= 0 is a
finite set Lj depending only on the constant T and the support of φ and the
cardinality of the set is O(2j ).
Define the estimator of θ2 (t) by
X (i)
θ̂i2 (t) = µ̂j(n),k φj(n),k (t) (3.11)
k∈Lj(n)
X (i)
= µ̂j(n),k φj(n),k (t). (3.12)
−∞<k<∞
 stochastic pde with discrete observations 11

Note that for any function f such that

Z T
f (t)θ2 (t)dt < ∞,
0

it can be shown that

M −1
2 T
Z
X p
f (tr )(ui (tr+1 ) − ui (tr ))2 → f (t)θ2 (t)dt as n → ∞.
r=0
λi + 1 0

Hence
(i) p
µ̂j,k → µj,k as n → ∞. (3.13)
Let h(.) be a continuous function on [0, T ] with compact support contained
0
in (0, T ) and belonging to the Sobolev space H m (R) with m0 > 12 . Let hj
be the projection of h on the space Vj . Further more suppose that

r ∧ m + r ∧ m0 > 2, j(n) = [αn] (3.14)

with
1
(2(r ∧ m + r ∧ m0 ))−1 ≤ α < . (3.15)
4
Note that r is the regularity of the multiresolution analysis, m is the exponent
of the Soblev space to which θ2 belongs to and m0 is the exponent of the
Soblev space to which h belongs to. Applying the Proposition 3.1 of Genon-
Catalot et al. (1992), we obtain that the following representation holds:
Z T
J˜in ≡ 2n/2 h(t)(θ̂i2 (t) − θ2 (t))dt
0
M
X −1 Z tr+1 Z tr+1
n/2 2
= 2 hj(n) (tr )[( θ(s) dWi (s)) − θ2 (s) ds] + R̃in
r=0 tr tr

where R̃in = op (1) as n → ∞. Further more

Z T
L
J˜in → N (0, 2 h2 (t)θ4 (t) dt) as n → ∞ (3.16)
0

by Theorem 3.1 of Genon-Catalot et al. (1992). Note the estimators {θ̂i (t),
i ≥ 1} are independent estimators of θ(t) for any fixed t since the processes
{Wi , i ≥ 1} are independent Wiener processes.

Let γ(t) be a nonnegative continuous function with support contained in

the interval [0, T ]. Define
12 b.l.s. prakasa rao

Z T
Q̃in = E{ γ(t)(θ̂i2 (t) − θ2 (t))2 dt}. (3.17)
0

Note that Q̃in is the integrated mean square error of the estimator θ̂i2 (t)
of the function θ2 (t) corresponding to the weight function γ(t). It can be
written in the form
2
Q̃in = B̃in + Ṽin (3.18)
where Z T
2
B̃in = γ(t)(E θ̂i2 (t) − θ2 (t))2 dt (3.19)
0
is the integrated square of the bias term with the weight function γ(t) and
Z T
Ṽin = E{ γ(t)(θ̂i2 (t) − E θ̂i2 (t))2 dt} (3.20)
0

is the integrated square of the variance term with the weight function γ(t).
Let Z T
D̃in = E{ (θ̂i2 (t) − E θ̂i2 (t))2 dt} (3.21)
0
and suppose that sup{γ(t) : t ∈ [0, T ]} ≤ K. Further suppose that j(n)− n2 →
−∞. Then it follows, by Theorem 4.1 of Genon-Catalot et al. (1992), that
there exists a constant C̃i depending on , λi and the functions φ, γ and θ2
such that
2
B̃in ≤ C̃i (24j(n)−2n + 2−2j(n)(m∧r) + 2−n ) (3.22)
and Z T
j(n)−n
D̃in = 2 2 θ4 (t)dt + o(2j(n)−n ). (3.23)
0
Further more
Ṽin ≤ K D̃in . (3.24)
Let
N
2 1 X
θ̃N (t) = θ̂2 (t). (3.25)
N i=1 i
It is obvious that, for any function h satisfying the conditions stated above,
and for any fixed integer N ≥ 1,
Z T
n/2 2
2 h(t)(θ̃N (t) − θ2 (t))dt
0
N
= N −1 J˜in
X

i=1
 stochastic pde with discrete observations 13

N M −1 Z tr+1
−1
X X
n/2
= N {2 hj(n) (tr )[( θ(s) dWi (s))2
i=1 r=0 tr
Z tr+1 N
θ2 (s) ds]} + N −1
X
− R̃in
tr i=1
M −1 N Z tr+1
−1
X X
n/2
= 2 hj(n) (tr ){N [( θ(s) dWi (s))2
r=0 i=1 tr
Z tr+1 N
θ2 (s) ds]} + N −1
X
− R̃in .
tr i=1

From the independence of the estimators θ̂i (t), 1 ≤ i ≤ N, it follows from

the Theorem 3.1 of Genon-Catalot et al. (1992) that
Z T Z T
L
2n/2 2
h(t)(θ̃N (t) − θ2 (t))dt → N (0, 2N −1 h2 (t)θ4 (t) dt) as n → ∞.
0 0
(3.26)
We have the following theorem.

Theorem 3.1. Under the conditions stated above , the estimator θ̃N 2 (t) of

θ2 (t) satisfies the following property for any function h(t) as defined earlier:
Z T Z T
n/2 2 2 L −1
2 h(t)(θ̃N (t) − θ (t))dt → N (0, 2N h2 (t)θ4 (t) dt) as n → ∞.
0 0
(3.27)
Let γ(t) be a nonnegative continuous function with support contained in the
interval [0, T ]. Define
Z T
2
Q̃n = E{ γ(t)(θ̃N (t) − θ2 (t))2 dt}. (3.28)
0

Note that Q̃n is the integrated mean square error of the estimator θ̃N 2 (t)
2
of the function θ (t) corresponding to the weight function γ(t). It can be
written in the form
Q̃n = B̃n2 + Ṽn (3.29)
where Z T
B̃n2 = 2
γ(t)(E θ̃N (t) − θ2 (t))2 dt (3.30)
0
is the integrated square of the bias term with the weight function γ(t) and
Z T
2 2
Ṽn = E{ γ(t)(θ̃N (t) − E θ̃N (t))2 dt} (3.31)
0
14 b.l.s. prakasa rao

is the integrated square of the variance term with the weight function γ(t).
Let Z T
2 2
D̃n = E{ (θ̃N (t) − E θ̃N (t))2 dt}. (3.32)
0

We have the following theorem from the estimates on {B̃in , 1 ≤ i ≤ N } and

on {D̃in , 1 ≤ i ≤ N } given above.

Theorem 3.2. Suppose that j(n) − n2 → −∞. Then there exists a con-
stant C̃N depending on N, φ, γ, θ2 such that

B̃n2 ≤ C̃N (24j(n)−2n + 2−2j(n)(m∧r) + 2−n ) (3.33)

and Z T
D̃n = N −1 2j(n)−n 2 θ4 (t)dt + o(N −1 2j(n)−n ). (3.34)
0
Further more
Ṽn ≤ K D̃n (3.35)
where K = sup{γ(t) : 0 ≤ t ≤ T }.

Remarks. It can be seen, from the Theorems 2.1 and 2.2 and from the
Theorems 3.1 and 3.2, that the limiting behaviour of the estimator θ̃N 2 (t)

of θ2 (t) does not depend on the “trend” terms in the SPDE’s discussed in
both the examples as long as the “trend” terms in the SDE’s satisfied by the
Fourier coefficients do not depend on the function θ(t) or any other unknown
functions. This has also been pointed out by Genon-Catalot et al. (1992) in
their work on the estimation of the diffusion coefficient for SDE’s.

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B.L.S.Prakasa Rao
Indian Statistical Institute
7, S.J.S.Sansnwal Marg
New Delhi 110 016
INDIA
E-mail: blsp@isid.ac.in