Statistical inference for discrete-time samples from affine stochastic delay differential equations

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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.
OriginalsprogEngelsk
TidsskriftBernoulli
Vol/bind19
Udgave nummer2
Sider (fra-til)409 - 425
ISSN1350-7265
DOI
StatusUdgivet - 2013

ID: 44916560