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Parameter Estimation in Gaussian Observations Model with Delay Having Singularity

Student: Kobyakova Anna

Supervisor: Vladimir Panov

Faculty: Faculty of Economic Sciences

Educational Programme: Statistical Modelling and Actuarial Science (Master)

Year of Graduation: 2018

In this paper, we consider a model of stationary Gaussian observations given by a delay equation, the distribution of which depends on an unknown parameter that can be interpreted as the position of the delay measure. The result obtained allows us to establish the asymptotic behaviour of maximum likelihood estimators and Bayesian estimators, when the delay measure has a singularity of a higher order than previously discussed in the literature.

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