On Nonparametric Estimation for SDE with Delay - Archive ouverte HAL Access content directly
Preprints, Working Papers, ... Year : 2019

On Nonparametric Estimation for SDE with Delay

Yury Kutoyants
Laboratoire de Statistique et Processus

Abstract

We consider the problem of drift function estimation of inhomoge-neous stochastic differential equation with delay. It is shown that kernel-type estimator is consistent and asymptotically efficient.

Domains

Statistics Theory [stat.TH]
Fichier principal
Vignette du fichier
DB-YK.pdf (115.67 Ko) Télécharger le fichier
Origin Files produced by the author(s)

Youri Koutoyants  : Connect in order to contact the contributor

https://hal.science/hal-02367609

Submitted on : Monday, November 18, 2019-9:58:34 AM

Last modification on : Friday, June 3, 2022-10:54:02 AM

Download

Dates and versions

hal-02367609 , version 1 (18-11-2019)
hal-02367609 , version 2 (10-03-2022)

Identifiers

  • HAL Id : hal-02367609 , version 1

Cite

Yury Kutoyants. On Nonparametric Estimation for SDE with Delay. 2019. ⟨hal-02367609v1⟩

Export

BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite
83 View
96 Download

Share

Gmail Mastodon Facebook X LinkedIn More