A simple estimator for discrete-time samples from affine stochastic delay differential equations

TY - JOUR

T1 -  A simple estimator for discrete-time samples from affine stochastic delay differential equations

AU - Sørensen, Michael

PY - 2010

Y1 - 2010

N2 - Estimation for discrete time observations of an affine stochastic delay differential equation is considered. The delay measure is assumed to be concentrated on a finite set. A simple estimator is obtained by discretization of the continuous-time likelihood function, and its asymptotic properties are investigated. The estimator is very easy to calculate and works well at high sampling frequencies, but it is shown to have a significant bias when the sampling frequency is low.

AB - Estimation for discrete time observations of an affine stochastic delay differential equation is considered. The delay measure is assumed to be concentrated on a finite set. A simple estimator is obtained by discretization of the continuous-time likelihood function, and its asymptotic properties are investigated. The estimator is very easy to calculate and works well at high sampling frequencies, but it is shown to have a significant bias when the sampling frequency is low.

M3 - Journal article

SN - 1387-0874

VL - 13

SP - 125

EP - 132

JO - Statistical Inference for Stochastic Processes : An International Journal devoted to Time Series Analysis and the Statistics of Continuous Time Processes and Dynamical Systems

JF - Statistical Inference for Stochastic Processes : An International Journal devoted to Time Series Analysis and the Statistics of Continuous Time Processes and Dynamical Systems

ER -