Statistical inference for discretely sampled stochastic functional differential equations with small noise

Abstract

AbstractEstimating 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 a small dispersion coefficient $$\varepsilon \rightarrow 0$$ ε → 0 and sample size $$n\rightarrow \infty $$ n → ∞ simultaneously.