On asymptotics related to classical inference in stochastic differential equations with random effects

DOI10.1016/j.spl.2015.10.001zbMath1337.60128arXiv1407.3968OpenAlexW2963043879MaRDI QIDQ273753

Trisha Maitra, Sourabh Bhattacharya

Publication date: 22 April 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.3968

zbMATH Keywords

asymptotic normalitystochastic differential equationsrandom effectsmaximum likelihood estimatorsBurkholder-Davis-Gundy inequalityItō isometry

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (5)

A review on asymptotic inference in stochastic differential equations with mixed effects ⋮ Estimation for stochastic differential equations with mixed effects ⋮ Maximum likelihood estimation of stochastic differential equations with random effects driven by fractional Brownian motion ⋮ On classical and Bayesian asymptotics in stochastic differential equations with random effects having mixture normal distributions ⋮ On classical and Bayesian asymptotics in state space stochastic differential equations

Uses Software

• MsdeParEst

Cites Work

• On Bayesian asymptotics in stochastic differential equations with random effects
• Theory of statistics
• Maximum Likelihood Estimation for Stochastic Differential Equations with Random Effects
• Asymptotic Properties of Maximum Likelihood Estimators for the Independent Not Identically Distributed Case
• Stochastic differential equations. An introduction with applications.

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