Minimax rates of nonparametric drift estimation in affine stochastic delay differential equations

DOI10.1023/A:1016356826470zbMath1006.62074MaRDI QIDQ1857351

Markus Reiss

Publication date: 17 February 2003

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

zbMATH Keywords

projection methodstationary Gaussian processstochastic delay differential equationsminimax ratesdrift estimationillposed problem

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Stochastic functional-differential equations (34K50) Numerical methods for inverse problems for integral equations (65R32)

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A simple estimator for discrete-time samples from affine stochastic delay differential equations ⋮ Statistical inference for discrete-time samples from affine stochastic delay differential equations ⋮ Parameter estimation for the stochastic SIS epidemic model ⋮ ON DELAY ESTIMATION FOR STOCHASTIC DIFFERENTIAL EQUATIONS ⋮ ESTIMATING THE DELAY TIME IN AFFINE STOCHASTIC DELAY DIFFERENTIAL EQUATIONS ⋮ Adaptive estimation for affine stochastic delay differential equations

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