Adaptive estimation for affine stochastic delay differential equations

DOI10.3150/BJ/1110228243MaRDI QIDQ1767483zbMATH OpenOpenAlexFDO

Authors Markus Reiß

Publication date 11 March 2005

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3150/bj/1110228243

zbMATH Keywords

ill-posed inverse problemminimax ratesspatial adaptivitywavelet thresholding

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: estimation (62M09)

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Cited in

(14)

• Stability of highly nonlinear hybrid stochastic integro-differential delay equations
• Minimax rates of nonparametric drift estimation in affine stochastic delay differential equations
• Statistical inference for discrete-time samples from affine stochastic delay differential equations
• Adaptive estimation for degenerate diffusion processes
• A simple estimator for discrete-time samples from affine stochastic delay differential equations
• Parameter estimation for the stochastic SIS epidemic model
• Nonlinear estimation for linear inverse problems with error in the operator
• Affine stochastic functional differential equations and local asymptotic properties of their parameter estimations
• On sequential estimators for affine stochastic delay differential equations
• scientific article; zbMATH DE number 1924297 (Why is no real title available?)
• ESTIMATING THE DELAY TIME IN AFFINE STOCHASTIC DELAY DIFFERENTIAL EQUATIONS
• Parameter estimation for rough differential equations
• A model specification test for nonlinear stochastic diffusions with delay
• Asymptotic inference for a stochastic differential equation with uniformly distributed time delay

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