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Statistical inference for discretely sampled stochastic functional differential equations with small noise
Statistics Theory · Submitted 20 Mar 2023
abstract compiled · 2026-09-23 · no language-model review
The authors' main claim We show consistency and asymptotic normality of the minimum-contrast estimator when the dispersion coefficient goes to zero and the sample size goes to infinity, simultaneously.
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The abstract, sentence by sentence
Estimating parameters of drift and diffusion coefficients for multidimensional stochastic delay equations with small noise are considered. The delay structure is written as an integral form with respect to a delay measure. Our contrast function is based on a local-Gauss approximation to the transition probability density of the process. We show consistency and asymptotic normality of the minimum-contrast estimator when the dispersion coefficient goes to zero and the sample size goes to infinity, simultaneously.
background contribution method result interpretation main claim
| # | sentence | role | the authors' own work | states the main conclusion | strength |
|---|---|---|---|---|---|
| s0 | Estimating parameters of drift and diffusion coefficients for multidimensional stochastic delay equations with small noise are considered. | background 0.58 | 0.57 | 0.06 | asserted 0.88 |
| s1 | The delay structure is written as an integral form with respect to a delay measure. | method 0.96 | 0.70 | 0.02 | asserted 1.00 |
| s2 | Our contrast function is based on a local-Gauss approximation to the transition probability density of the process. | method 0.99 | 0.86 | 0.04 | asserted 1.00 |
| s3 | We show consistency and asymptotic normality of the minimum-contrast estimator when the dispersion coefficient goes to zero and the sample size goes to infinity, simultaneously. | result 0.98 | 0.96 | 0.85 | asserted 1.00 |
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The paper
Original abstract
Estimating parameters of drift and diffusion coefficients for multidimensional stochastic delay equations with small noise are considered. The delay structure is written as an integral form with respect to a delay measure. Our contrast function is based on a local-Gauss approximation to the transition probability density of the process. We show consistency and asymptotic normality of the minimum-contrast estimator when the dispersion coefficient goes to zero and the sample size goes to infinity, simultaneously.
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