Second-order stochastic differential equation model as an alternative for the ALT and CALT models

DOI10.1007/s10182-010-0131-4zbMath1443.62415OpenAlexW2119484212WikidataQ115385173 ScholiaQ115385173MaRDI QIDQ1633189

Johan H. L. Oud

Publication date: 19 December 2018

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-010-0131-4

zbMATH Keywords

asymptotic stabilitytime-varyingstructural equation modelingexact discrete modelcontinuous-time autoregressive latent trajectory modelrandom slopessecond-order stochastic differential equation modeltime-specific

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to social sciences (62P25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of statistics to psychology (62P15)

Cites Work

• Mathematics of Kalman-Bucy filtering
• Introduction of a new measure for detecting poor fit due to omitted nonlinear terms in SEM
• Continuous time state space modeling of panel data by means of sem
• Introduction to stochastic integration.
• Latent Curve Models
• Analyzing reciprocal relationships by means of the continuous‐time autoregressive latent trajectory model
• Problems with the estimation of stochastic differential equations using structural equations models
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