Mixtures of stochastic differential equations with random effects: application to data clustering

DOI10.1016/j.jspi.2015.12.003zbMath1335.62095OpenAlexW2230027716MaRDI QIDQ254932

Valentine Genon-Catalot, Maud Delattre, Adeline Samson

Publication date: 8 March 2016

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2015.12.003

zbMATH Keywords

classificationEM algorithmstochastic differential equationsmaximum likelihood estimatormixture distributionBICmixed-effects models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Related Items

A review on asymptotic inference in stochastic differential equations with mixed effects ⋮ Nonparametric estimation in a mixed-effect Ornstein-Uhlenbeck model ⋮ On classical and Bayesian asymptotics in stochastic differential equations with random effects having mixture normal distributions ⋮ Stability of a class of hybrid neutral stochastic differential equations with unbounded delay

Uses Software

• MsdeParEst

Cites Work

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