English

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

Statistics Theory 2013-03-21 v1 Statistics Theory

Abstract

Statistical inference for discrete time observations of an affine stochastic delay differential equation is considered. The main focus is on maximum pseudo-likelihood estimators, which are easy to calculate in practice. A more general class of prediction-based estimating functions is investigated as well. In particular, the optimal prediction-based estimating function and the asymptotic properties of the estimators are derived. The maximum pseudo-likelihood estimator is a particular case, and an expression is found for the efficiency loss when using the maximum pseudo-likelihood estimator, rather than the computationally more involved optimal prediction-based estimator. The distribution of the pseudo-likelihood estimator is investigated in a simulation study. Two examples of affine stochastic delay equation are considered in detail.

Keywords

Cite

@article{arxiv.1303.4875,
  title  = {Statistical inference for discrete-time samples from affine stochastic delay differential equations},
  author = {Uwe Küchler and Michael Sørensen},
  journal= {arXiv preprint arXiv:1303.4875},
  year   = {2013}
}

Comments

Published in at http://dx.doi.org/10.3150/11-BEJ411 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)

R2 v1 2026-06-21T23:44:59.516Z