ON DELAY ESTIMATION AND TESTING FOR SDE

Yury KUTOYANTS
Université du Maine
Le Mans, France


ABSTRACT

We consider the problems of delay estimation and testing by observations of the solution of linear stochastic differential equation (SDE). The properties of the MLE and Bayesian estimators as well as some tests are described in the asymptotics of large samples and in the asymptotics of small noise. We show that for the same model and the same parameter we have the regular and non regular estimation and testing problems depending on the type of asymptotics



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