A simple estimator for discrete-time samples from affine stochastic delay differential equations
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.
KeywordsAsymptotic normality Discrete time observation of continuous time models Stochastic delay differential equation
Mathematics Subject Classification (2000)62M09 34K50
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