SEM Modeling with Singular Moment Matrices Part II: ML-Estimation of Sampled Stochastic Differential Equations

DOI10.1080/0022250X.2010.532259zbMath1275.60055MaRDI QIDQ2893438

Hermann Singer

Publication date: 20 June 2012

Published in: The Journal of Mathematical Sociology (Search for Journal in Brave)

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

Time to intervene: a continuous-time approach to network analysis and centrality ⋮ Representing sudden shifts in intensive dyadic interaction data using differential equation models with regime switching ⋮ Fitting nonlinear ordinary differential equation models with random effects and unknown initial conditions using the stochastic approximation expectation-maximization (SAEM) algorithm ⋮ SEM modeling with singular moment matrices Part III: GLS estimation ⋮ Zero-inflated regime-switching stochastic differential equation models for highly unbalanced multivariate, multi-subject time-series data

Uses Software

• LSDE

Cites Work

• The Pricing of Options and Corporate Liabilities
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• Conditional Markov Processes
• The Dimensionality of the Aliasing Problem in Models With Rational Spectral Densities
• Problems with the estimation of stochastic differential equations using structural equations models
• The aliasing‐phenomenon in visual terms
• Fitting Systems of Linear Differential Equations Using Computer Generated Exact Derivatives
• Continuous panel models with time dependent parameters
• CONTINUOUS-TIME DYNAMICAL SYSTEMS WITH SAMPLED DATA, ERRORS OF MEASUREMENT AND UNOBSERVED COMPONENTS
• Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
• Evaluation of likelihood functions for Gaussian signals
• Exponential Operators and Parameter Differentiation in Quantum Physics
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