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On sequential parameter estimation for some linear stochastic diffential equations with time delay

Küchler, Uwe; Vasiliev, Vjatscheslav A. - 1998

Persistent link: https://www.econbiz.de/10000998119

Stochastic equicontinuity and nonparametric kernel estimation

Andrews, Donald W. K. - 1988 - Rev.

Persistent link: https://www.econbiz.de/10000801952

Delay estimation for some stationary diffusion-type processes

Küchler, Uwe; Kutoyants, Yu. A. - 1998

Persistent link: https://www.econbiz.de/10000992277

On guaranteed parameter estimation of stochastic differential equations with time delay by noisy observations

Küchler, Uwe; Vasiliev, Vjatscheslav A. - 2001

Persistent link: https://www.econbiz.de/10001584012

On parametric statistical models for stationary solutions of affine stochastic delay differential equations

Guščin, Aleksandr A.; Küchler, Uwe - 2001

Persistent link: https://www.econbiz.de/10001659921

Multivariate stochastic volatility

Chib, Siddhartha; Omori, Yasuhiro; Asai, Manabu - In: Handbook of financial time series, (pp. 365-400). 2009

Persistent link: https://www.econbiz.de/10003833972

Delay estimation for some stationary diffusion-type processes

Küchler, Uwe; Kutoyants, Yu. A. - 1998

In this paper the asymptotic behaviour of the maximum likelihood and Bayesian estimators of a delay parameter is studied. The observed process is supposed to be the solution of a linear stochastic differential equation with one time delay term. It is shown that these estimators are consistent...

Persistent link: https://www.econbiz.de/10009578018

Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes

Andrews, Donald W. K.; Lieberman, Offer - 2002

Persistent link: https://www.econbiz.de/10001694737

Autoregressive stochastic volatility models with heavy-tailed distributions : a comparison with multifactor volatility models

Asai, Manabu - In: Journal of empirical finance 15 (2008) 2, pp. 332-341

Persistent link: https://www.econbiz.de/10003699171

Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes

Andrews, Donald W. K.; Lieberman, Offer; Marmer, Vadim - In: Journal of econometrics 133 (2006) 2, pp. 673-702

Persistent link: https://www.econbiz.de/10003359623