ON SEQUENTIAL PARAMETER ESTIMATION FOR SOME LINEAR STOCHASTIC DIFFERENTIAL EQUATIONS WITH TIME DELAY

DOI10.1081/SQA-100106052zbMath0985.62065MaRDI QIDQ2758214

Uwe Küchler, Vjatscheslav Vasiliev

Publication date: 23 May 2002

Published in: Sequential Analysis (Search for Journal in Brave)

zbMATH Keywords

time delaymaximum likelihood estimatorsequential analysisleast mean square accuracy

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sequential estimation (62L12) Markov processes: hypothesis testing (62M02)

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On parameter estimation of stochastic delay differential equations with guaranteed accuracy by noisy observations ⋮ On guaranteed parameter estimation of a multiparameter linear regression process ⋮ On Optimal Adaptive Prediction of Multivariate Autoregression

Cites Work

• Introduction to functional differential equations
• Exponential families of stochastic processes
• On stationary solutions of delay differential equations driven by a Lévy process.
• Asymptotic inference for a linear stochastic differential equation with time delay
• Delay Estimation for Some Stationary Diffusion-type Processes
• Langevins stochastic differential equation extended by a time-delayed term