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2006-02-02Buch DOI: 10.18452/3739
Delay Estimation for some Stationary Diffusion-type processes
dc.contributor.authorKüchler, Uwe
dc.contributor.authorKutoyants, Yury A.
dc.date.accessioned2017-06-15T21:58:10Z
dc.date.available2017-06-15T21:58:10Z
dc.date.created2006-02-02
dc.date.issued2006-02-02
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4391
dc.description.abstractIn 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectStochastic Differential Delay Equationseng
dc.subjectDiffusion-type processeng
dc.subjectEstimation of Delayeng
dc.subjectAsymptotic Properties for Large Sample Sizeeng
dc.subjectAsymptotic Efficiencyeng
dc.subject.ddc330 Wirtschaft
dc.titleDelay Estimation for some Stationary Diffusion-type processes
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10057007
dc.identifier.doihttp://dx.doi.org/10.18452/3739
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages14
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume1998
local.edoc.container-issue47
local.edoc.container-year1998
local.edoc.container-erstkatid2135319-0

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