IDEAS home Printed from https://ideas.repec.org/p/zbw/sfb373/199847.html
   My bibliography  Save this paper

Delay estimation for some stationary diffusion-type processes

Author

Listed:
  • Küchler, Uwe
  • Kutoyants, Yuri A.

Abstract

In this paper the asymptotic behaviour of the maximum likelihood and Bayesian estimators of a delay parameter is studied. The observed process is supposed to be the solution of a linear stochastic differential equation with one time delay term. It is shown that these estimators are consistent and their limit distributions are described. The behaviour of the estimators is similar to the behaviour of corresponding estimators in change-point problems. The question of asymptotical efficiency is also discussed.

Suggested Citation

  • Küchler, Uwe & Kutoyants, Yuri A., 1998. "Delay estimation for some stationary diffusion-type processes," SFB 373 Discussion Papers 1998,47, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:199847
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/61243/1/721978843.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Kallianpur, G. & Selukar, R. S., 1991. "Parameter estimation in linear filtering," Journal of Multivariate Analysis, Elsevier, vol. 39(2), pages 284-304, November.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Yury A. Kutoyants, 2021. "On localization of source by hidden Gaussian processes with small noise," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(4), pages 671-702, August.
    2. Mandrekar, V. & Naik-Nimbalkar, U.V., 2009. "Identification of a Markovian system with observations corrupted by a fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 79(7), pages 965-968, April.
    3. Deck, T., 2006. "Asymptotic properties of Bayes estimators for Gaussian Itô-processes with noisy observations," Journal of Multivariate Analysis, Elsevier, vol. 97(2), pages 563-573, February.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:sfb373:199847. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/sfhubde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.