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

Article

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.

Keywords

Asymptotic normality Discrete time observation of continuous time models Stochastic delay differential equation 

Mathematics Subject Classification (2000)

62M09 34K50 

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Copyright information

© Springer Science+Business Media B.V. 2010

Authors and Affiliations

  1. 1.Institut für MathematikHumboldt-Universität zu BerlinBerlinGermany
  2. 2.Department of Mathematical SciencesUniversity of CopenhagenCopenhagen ØDenmark

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