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

DOI10.1080/02331888.2016.1239728zbMATH Open1371.62006arXiv1510.04115OpenAlexW2259063723WikidataQ115301427 ScholiaQ115301427MaRDI QIDQ5280375FDOQ5280375

Authors: János Marcell Benke, Gyula Pap 

Publication date: 20 July 2017

Published in: Statistics (Search for Journal in Brave)

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 $Toinfty$.

Full work available at URL: https://arxiv.org/abs/1510.04115

Recommendations

• Asymptotic inference for a linear stochastic differential equation with time delay
• Asymptotic inference for a stochastic differential equation with uniformly distributed time delay
• ON SEQUENTIAL PARAMETER ESTIMATION FOR SOME LINEAR STOCHASTIC DIFFERENTIAL EQUATIONS WITH TIME DELAY
• Nearly unstable family of stochastic processes given by stochastic differential equations with time delay
• Parametric estimation for linear stochastic delay differential equations driven by fractional Brownian motion

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)

Cites Work

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

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
• Title not available (Why is that?)
• On estimation of delay location

This page was built for publication: One-parameter statistical model for linear stochastic differential equation with time delay

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5280375)