Statistical inference for discretely sampled stochastic functional differential equations with small noise.

Autor: Nemoto, Hiroki, Shimizu, Yasutaka
Zdroj: Statistical Inference for Stochastic Processes; Jul2024, Vol. 27 Issue 2, p427-456, 30p
Abstrakt: Estimating parameters of drift and diffusion coefficients for multidimensional stochastic delay equations with small noise are considered. The delay structure is written as an integral form with respect to a delay measure. Our contrast function is based on a local-Gauss approximation to the transition probability density of the process. We show consistency and asymptotic normality of the minimum-contrast estimator when a small dispersion coefficient ε → 0 and sample size n → ∞ simultaneously. [ABSTRACT FROM AUTHOR]
Databáze: Complementary Index
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