B1564
Title: Estimation of parameters of elliptic SPDE models driven by non-Gaussian white noise
Authors: David Bolin - King Abdullah University of Science and Technology (Saudi Arabia)
Alexandre de Bustamante Simas - King Abdullah University of Science and Technology (Saudi Arabia) [presenting]
Jonas Wallin - Lund University (Sweden)
Abstract: A class of linear elliptic SPDE models driven by type-G Levy Noise will be briefly presented. We will discuss the estimation of parameters in such models and present a stochastic gradient descent approach to estimation. This estimation relies on a Gibbs sampler algorithm, which we show is geometrically ergodic and discuss how the parameters affect its convergence to equilibrium.
