ESTIMATING THE DELAY TIME IN AFFINE STOCHASTIC DELAY DIFFERENTIAL EQUATIONS

DOI10.1142/S0219691304000664zbMath1071.62074MaRDI QIDQ5697084

Markus Reiss

Publication date: 17 October 2005

Published in: International Journal of Wavelets, Multiresolution and Information Processing (Search for Journal in Brave)

zbMATH Keywords

stochastic delay equationsCUSUMill-posed problemminimax ratesnonparametric change point detection

Mathematics Subject Classification ID

Gaussian processes (60G15) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (1)

Adaptive estimation for affine stochastic delay differential equations

Cites Work

• Unnamed Item
• Unnamed Item
• Wavelets on the interval and fast wavelet transforms
• Exponential families of stochastic processes
• Minimax rates of nonparametric drift estimation in affine stochastic delay differential equations
• Delay equations. Functional-, complex-, and nonlinear analysis
• Asymptotic inference for a linear stochastic differential equation with time delay
• Deviation probability bound for martingales with applications to statistical estimation
• Non-parametric Estimation for the Location of a Change-point in an Otherwise Smooth Hazard Function under Random Censoring
• On Minimax Estimation of a Discontinuous Signal
• Ten Lectures on Wavelets
• Langevins stochastic differential equation extended by a time-delayed term
• Optimal Change‐point Estimation in Inverse Problems

This page was built for publication: ESTIMATING THE DELAY TIME IN AFFINE STOCHASTIC DELAY DIFFERENTIAL EQUATIONS