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Küchler, Uwe
Kutoyants, Yuri A.
Year of Publication: 
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SFB 373 Discussion Paper 1998,47
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.
Stochastic Differential Delay Equations
Diffusion-type process
Estimation of Delay
Asymptotic Properties for Large Sample Size
Asymptotic Efficiency
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Working Paper

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