Abstract
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.
| Original language | English |
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| Journal | Statistical Inference for Stochastic Processes : An International Journal devoted to Time Series Analysis and the Statistics of Continuous Time Processes and Dynamical Systems |
| Volume | 13 |
| Pages (from-to) | 125-132 |
| Number of pages | 8 |
| ISSN | 1387-0874 |
| Publication status | Published - 2010 |