A simple estimator for discrete-time samples from affine stochastic delay differential equations

DOI10.1007/s11203-010-9042-yzbMath1209.62198OpenAlexW2004824877MaRDI QIDQ2430995

Michael Sørensen, Uwe Küchler

Publication date: 8 April 2011

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-010-9042-y

zbMATH Keywords

asymptotic normalitystochastic delay differential equationdiscrete time observation of continuous time models

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Inference from stochastic processes (62M99) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic functional-differential equations (34K50)

Related Items (4)

Statistical inference for discrete-time samples from affine stochastic delay differential equations ⋮ Parameter estimation for the stochastic SIS epidemic model ⋮ Stability of highly nonlinear hybrid stochastic integro-differential delay equations ⋮ Spectral representation of transition density of Fisher–Snedecor diffusion

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• Delay Estimation for Some Stationary Diffusion-type Processes
• Langevins stochastic differential equation extended by a time-delayed term
• A Review of Some Aspects of Asymptotic Likelihood Theory for Stochastic Processes

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