Arbeitspapier
Delay estimation for some stationary diffusion-type processes
In this paper the asymptotic behaviour of the maximum likelihood and Bayesian estimators of a delay parameter is studied. The observed process is supposed to be the solution of a linear stochastic differential equation with one time delay term. It is shown that these estimators are consistent and their limit distributions are described. The behaviour of the estimators is similar to the behaviour of corresponding estimators in change-point problems. The question of asymptotical efficiency is also discussed.
- Language
-
Englisch
- Bibliographic citation
-
Series: SFB 373 Discussion Paper ; No. 1998,47
- Classification
-
Wirtschaft
- Subject
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Stochastic Differential Delay Equations
Diffusion-type process
Estimation of Delay
Asymptotic Properties for Large Sample Size
Asymptotic Efficiency
- Event
-
Geistige Schöpfung
- (who)
-
Küchler, Uwe
Kutoyants, Yuri A.
- Event
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Veröffentlichung
- (who)
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Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (where)
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Berlin
- (when)
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1998
- Handle
- URN
-
urn:nbn:de:kobv:11-10057007
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Küchler, Uwe
- Kutoyants, Yuri A.
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Time of origin
- 1998
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