Statistical inference for discrete-time samples from affine stochastic delay differential equations

DOI10.3150/11-BEJ411zbMath1456.62035arXiv1303.4875OpenAlexW2022046364MaRDI QIDQ1952429

Michael Sørensen, Uwe Küchler

Publication date: 30 May 2013

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.4875

zbMATH Keywords

consistencyasymptotic normalitypseudo-likelihoodcomposite likelihoodstochastic delay differential equationprediction-based estimating functionsdiscrete time observation of continuous-time models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (3)

Limit theorems for quadratic forms and related quantities of discretely sampled continuous-time moving averages ⋮ Stochastic delay differential equations and related autoregressive models ⋮ Stability of highly nonlinear hybrid stochastic integro-differential delay equations

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