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- W3093459827 abstract "We consider the problem of delay estimation by the observations of the solutions of several SDEs. It is known that the MLE for these models are consistent and asymptotically normal, but the likelihood ratio functions are not differentiable w.r.t. parameter and therefore numerical calculation of the MLEs has certain difficulties. We propose One-step and Two-step MLE, whose calculation has no such problems and provide estimator asymptotically equivalent to the MLE. These constructions are realized in two or three steps. First we construct preliminary estimators which are consistent and asymptotically normal, but not asymptotically efficient. Then we use these estimators and modified Fisher-score device to obtain One-step and Two-step MLEs. We suppose that its numerical realization is much more simple. Stochastic Pantograph equation is introduced and related statistical problems are discussed." @default.
- W3093459827 created "2020-10-22" @default.
- W3093459827 creator A5057412962 @default.
- W3093459827 date "2020-10-15" @default.
- W3093459827 modified "2023-09-27" @default.
- W3093459827 title "On Multi-step Estimation of Delay for SDE" @default.
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