Abstract
For the stochastic differential equation
the local asymptotic properties of the likelihood function are studied. They depend strongly on the true value of the parameter . Eleven different cases are possible if runs through . Let be the maximum likelihood estimator of based on . Applications to the asymptotic behaviour of as are given.
Citation
Alexander A. Gushchin. Uwe Küchler. "Asymptotic inference for a linear stochastic differential equation with time delay." Bernoulli 5 (6) 1059 - 1098, dec 1999.
Information