Statistical inference for discrete-time samples from affine stochastic delay differential equations
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Statistical inference for discrete-time samples from affine stochastic delay differential equations. / Küchler, Uwe; Sørensen, Michael.
I: Bernoulli, Bind 19, Nr. 2, 2013, s. 409 - 425.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Statistical inference for discrete-time samples from affine stochastic delay differential equations
AU - Küchler, Uwe
AU - Sørensen, Michael
PY - 2013
Y1 - 2013
N2 - 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.
AB - 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.
U2 - 10.3150/11-BEJ411
DO - 10.3150/11-BEJ411
M3 - Journal article
VL - 19
SP - 409
EP - 425
JO - Bernoulli
JF - Bernoulli
SN - 1350-7265
IS - 2
ER -
ID: 44916560