Asymptotic inference for a stochastic differential equation with uniformly distributed time delay

DOI10.1016/J.JSPI.2015.04.010zbMATH Open1328.62050arXiv1504.04521OpenAlexW2211193993WikidataQ115345195 ScholiaQ115345195MaRDI QIDQ897639FDOQ897639

Authors: János Marcell Benke, Gyula Pap 

Publication date: 7 December 2015

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Abstract: For affine stochastic differential equation with uniformly distributed time delay the local asymptotic properties of the likelihood function are studied. Local asymptotic normality, local asymptotic mixed normality, periodic local asymptotic mixed normality or local asymptotic quadraticity is proved for different values of the parameter. Applications to the asymptotic behaviour of the maximum likelihood estimator of the parameter based on continuous sample are given.

Full work available at URL: https://arxiv.org/abs/1504.04521

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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)

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• Asymptotic inference for a linear stochastic differential equation with time delay
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Cited In (8)

• Nearly unstable family of stochastic processes given by stochastic differential equations with time delay
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• Stability of highly nonlinear hybrid stochastic integro-differential delay equations
• Asymptotic inference for a linear stochastic differential equation with time delay
• Addendum to ``Asymptotic inference for a linear stochastic differential equation with time delay
• Affine stochastic functional differential equations and local asymptotic properties of their parameter estimations
• One-parameter statistical model for linear stochastic differential equation with time delay

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