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

DOI10.1016/J.JSPI.2015.04.010MaRDI QIDQ897639zbMATH OpenOpenAlexWikidataFDO

Authors János Marcell Benke, Gyula Pap

Publication date 7 December 2015

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

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

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)

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.

Recommendations

• Asymptotic inference for a linear stochastic differential equation with time delay
• One-parameter statistical model for linear stochastic differential equation with time delay
• Addendum to ``Asymptotic inference for a linear stochastic differential equation with time delay
• Adaptive estimation for affine stochastic delay differential equations
• Affine stochastic functional differential equations and local asymptotic properties of their parameter estimations

Cites work

• scientific article; zbMATH DE number 1924297 (Why is no real title available?)
• scientific article; zbMATH DE number 822726 (Why is no real title available?)
• Asymptotic Statistics
• Asymptotic inference for a linear stochastic differential equation with time delay
• Asymptotic inference for a stochastic differential equation with uniformly distributed time delay
• Asymptotics in statistics. Some basic concepts.
• On contiguity of probability measures corresponding to semimartingales
• On stationary solutions of delay differential equations driven by a Lévy process.

Cited in

(8)

• Stability of highly nonlinear hybrid stochastic integro-differential delay equations
• Adaptive estimation for affine stochastic delay differential equations
• Nearly unstable family of stochastic processes given by stochastic differential equations 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
• Asymptotic inference for a linear stochastic differential equation with time delay
• One-parameter statistical model for linear stochastic differential equation with time delay
• Asymptotic inference for a stochastic differential equation with uniformly distributed time delay

This page was built for publication: Asymptotic inference for a stochastic differential equation with uniformly distributed time delay

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q897639)