On Nonparametric Estimation for SDE with Delay

Yury Kutoyants (1)

1 LSP-EA3263 - Laboratoire de Statistique et Processus

We consider the problem of drift function estimation of inhomoge-neous stochastic differential equation with delay. It is shown that kernel-type estimator is consistent and asymptotically efficient.

Domaines: Théorie [stat.TH]

Yury Kutoyants. On Nonparametric Estimation for SDE with Delay. Annales de l'ISUP, 2019, 63 (2-3), pp.11-20. ⟨hal-02367609v2⟩