One-parameter statistical model for linear stochastic differential equation with time delay

DOI10.1080/02331888.2016.1239728zbMath1371.62006arXiv1510.04115OpenAlexW2259063723WikidataQ115301427 ScholiaQ115301427MaRDI QIDQ5280375

Gyula Pap, János Marcell Benke

Publication date: 20 July 2017

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.04115

zbMATH Keywords

time delaystochastic differential equationslocal asymptotic normalitymaximum likelihood estimatorlikelihood 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)

Related Items (1)

Nearly unstable family of stochastic processes given by stochastic differential equations with time delay

Cites Work

• Asymptotic inference for a stochastic differential equation with uniformly distributed time delay
• On stationary solutions of delay differential equations driven by a Lévy process.
• Asymptotic inference for a linear stochastic differential equation with time delay

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