On multi-step estimation of delay for SDE

DOI10.3150/20-BEJ1301MaRDI QIDQ2040107zbMATH OpenOpenAlexFDO

Authors Yu. A. Kutoyants

Publication date 9 July 2021

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2010.07624

zbMATH Keywords

delay estimationone-step MDEone-step MLEstochastic pantograph equationtwo-step MLE

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Estimation and detection in stochastic control theory (93E10)

Abstract: We consider the problem of delay estimation by the observations of the solutions of several SDEs. It is known that the MLE for these models are consistent and asymptotically normal, but the likelihood ratio functions are not differentiable w.r.t. parameter and therefore numerical calculation of the MLEs has certain difficulties. We propose One-step and Two-step MLE, whose calculation has no such problems and provide estimator asymptotically equivalent to the MLE. These constructions are realized in two or three steps. First we construct preliminary estimators which are consistent and asymptotically normal, but not asymptotically efficient. Then we use these estimators and modified Fisher-score device to obtain One-step and Two-step MLEs. We suppose that its numerical realization is much more simple. Stochastic Pantograph equation is introduced and related statistical problems are discussed.

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Cited in

(4)

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• Volatility estimation of hidden Markov processes and adaptive filtration
• A model specification test for nonlinear stochastic diffusions with delay
• Estimation of multiple delays in a stochastic dynamical system

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