ESTIMATING THE DELAY TIME IN AFFINE STOCHASTIC DELAY DIFFERENTIAL EQUATIONS

DOI10.1142/S0219691304000664zbMath1071.62074MaRDI QIDQ5697084

Markus Reiss

Publication date: 17 October 2005

Published in: International Journal of Wavelets, Multiresolution and Information Processing (Search for Journal in Brave)

zbMATH Keywords

stochastic delay equations; CUSUM; ill-posed problem; minimax rates; nonparametric change point detection

Mathematics Subject Classification ID

60G15: Gaussian processes

62G20: Asymptotic properties of nonparametric inference

62G05: Nonparametric estimation

62M09: Non-Markovian processes: estimation

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

Related Items

Adaptive estimation for affine stochastic delay differential equations

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