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Delay estimation for some stationary diffusion-type processes

Uwe Küchler and Yuri A. Kutoyants

No 1998,47, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

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.

Keywords: Stochastic Differential Delay Equations; Diffusion-type process; Estimation of Delay; Asymptotic Properties for Large Sample Size; Asymptotic Efficiency (search for similar items in EconPapers)
Date: 1998
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