On Nonparametric Estimation for SDE with Delay - Les annales de l'ISUP
Journal Articles Annales de l'ISUP 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]
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Submitted on : Thursday, March 10, 2022-1:52:11 PM

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

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  • HAL Id : hal-02367609 , version 2

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Yury Kutoyants. On Nonparametric Estimation for SDE with Delay. Annales de l'ISUP, 2019, 63 (2-3), pp.11-20. ⟨hal-02367609v2⟩

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