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.
| Original language | English |
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| Journal | Bernoulli |
| Volume | 19 |
| Issue number | 2 |
| Pages (from-to) | 409 - 425 |
| ISSN | 1350-7265 |
| DOIs | |
| Publication status | Published - May 2013 |