One-parameter statistical model for linear stochastic differential equation with time delay

DOI10.1080/02331888.2016.1239728MaRDI QIDQ5280375zbMATH OpenOpenAlexWikidataFDO

Authors János Marcell Benke, Gyula Pap

Publication date 20 July 2017

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1510.04115, http://publicatio.bibl.u-szeged.hu/18839/1/postprint.pdf

zbMATH Keywords

maximum likelihood estimatorstochastic differential equationstime delaylocal asymptotic normalitylikelihood functionlocal asymptotic mixed normalitylocal asymptotic quadraticityperiodic local asymptotic mixed normality

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Theory of statistical experiments (62B15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: Assume that we observe a stochastic process $(X(t){)}_{tin[-r,T]}$, which satisfies the linear stochastic delay differential equation [ mathrm{d} X(t) = vartheta int_{[-r,0]} X(t + u) , a(mathrm{d} u) , mathrm{d} t + mathrm{d} W(t) , qquad t geq 0 , ] where $a$ is a finite signed measure on $[-r,0]$. The local asymptotic properties of the likelihood function are studied. Local asymptotic normality is proved in case of $v_{v}arthet{a}^{\ast }<0$, local asymptotic quadraticity is shown if $v_{v}arthet{a}^{\ast }=0$, and, under some additional conditions, local asymptotic mixed normality or periodic local asymptotic mixed normality is valid if $v_{v}arthet{a}^{\ast }>0$, where $v_{v}arthet{a}^{\ast }$ is an appropriately defined quantity. As an application, the asymptotic behaviour of the maximum likelihood estimator $widehat{vartheta}_T$ of $vartheta$ based on $(X(t){)}_{tin[-r,T]}$ can be derived as $Toinfty$.

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Cites work

• Asymptotic inference for a linear stochastic differential equation with time delay
• Asymptotic inference for a stochastic differential equation with uniformly distributed time delay
• On stationary solutions of delay differential equations driven by a Lévy process.

Cited in

(6)

• Nearly unstable family of stochastic processes given by stochastic differential equations with time delay
• Asymptotic inference for a stochastic differential equation with uniformly distributed time delay
• A model specification test for nonlinear stochastic diffusions with delay
• Affine stochastic functional differential equations and local asymptotic properties of their parameter estimations
• scientific article; zbMATH DE number 3901748 (Why is no real title available?)
• On estimation of delay location

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