On parametric statistical models for stationary solutions of affine stochastic delay differential equations
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Bibliographic InfoPaper provided by Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes in its series SFB 373 Discussion Papers with number 2001,91.
Date of creation: 2001
Date of revision:
affine stochastic delay differential equation; stationary Gaussian process; local asymptotic normality; maximum likelihood estimator; Bayesian estimator; Hellinger distance;
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- Küchler, Uwe & Gapeev, Pavel V., 2003. "On Large Deviations in Testing Ornstein-Uhlenbeck Type Models with Delay," SFB 373 Discussion Papers 2003,45, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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