ON DELAY ESTIMATION FOR STOCHASTIC DIFFERENTIAL EQUATIONS

DOI10.1142/S0219493705001444zbMath1070.62066MaRDI QIDQ5694417

Yury A. Kutoyants

Publication date: 30 September 2005

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationasymptotic propertiesdelay estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic functional-differential equations (34K50) Singular perturbations of functional-differential equations (34K26)

Related Items (4)

Nonparametric estimation of trend for SDEs with delay driven by a fractional brownian motion with small noise ⋮ On large deviations in testing Ornstein-Uhlenbeck-type models ⋮ On estimation of delay location ⋮ On multi-step estimation of delay for SDE

Cites Work

• Exponential families of stochastic processes
• Minimax rates of nonparametric drift estimation in affine stochastic delay differential equations
• Exact computation of the asymptotic efficiency of maximum likelihood estimators of a discontinuous signal in a Gaussian white noise
• Asymptotic inference for a linear stochastic differential equation with time delay
• Delay Estimation for Some Stationary Diffusion-type Processes
• An Example of Estimating a Parameter of a Nondifferentiable Drift Coefficient
• Langevins stochastic differential equation extended by a time-delayed term

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