On estimation of delay location

DOI10.1007/S11203-011-9060-4MaRDI QIDQ644966zbMATH OpenOpenAlexFDO

Authors A. A. Gushchin, Uwe Küchler

Publication date 7 November 2011

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

Full work available at URL https://doi.org/10.1007/s11203-011-9060-4

zbMATH Keywords

affine stochastic delay differential equationBayes estimatorfractional Brownian motionlocal asymptotic normalitymaximum likelihood estimatorregular variationstationary Gaussian process

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Stationary stochastic processes (60G10) Fractional processes, including fractional Brownian motion (60G22) Continuity and singularity of induced measures (60G30) Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09)

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Cites work

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Cited in

(7)

• On limit distributions of estimators in irregular statistical models and a new representation of fractional Brownian motion
• Delay estimation for some stationary diffusion-type processes
• Affine stochastic functional differential equations and local asymptotic properties of their parameter estimations
• TIME DELAY ESTIMATION
• scientific article; zbMATH DE number 7300393 (Why is no real title available?)
• Nearly unstable family of stochastic processes given by stochastic differential equations with time delay
• Signal delay estimation in the presence of corrupting parameters

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