Asymptotic Inference for a Linear Stochastic Differential Equation with Time Delay
Asymptotic Inference for a Linear Stochastic Differential Equation with Time Delay
For the stochastic differential equation dX (t) faX (t) bX (t À 1)g dt dW (t), t > 0, the local asymptotic properties of the likelihood function are studied.They depend strongly on the true value of the parameter W (a, b) Ã .Eleven different cases are possible if W runs …