Adaptive estimation for affine stochastic delay differential equations
نویسندگان
چکیده
منابع مشابه
Adaptive Estimation for Affine Stochastic Delay Differential Equations
For stationary solutions of the affine stochastic delay differential equation dX(t) = ( γ0X(t) + γrX(t− r) + ∫ 0 −r X(t + u)g(u) du ) dt + σ dW (t) we consider the problem of nonparametric inference for the weight function g and for γ0, γr from the continuous observation of one trajectory up to time T > 0. For weight functions in the scale of Besov spaces B p,1 and L-type loss functions converg...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2005
ISSN: 1350-7265
DOI: 10.3150/bj/1110228243