Estimation for stochastic differential equations with mixed effects

DOI10.1080/02331888.2016.1141910zbMath1440.62319OpenAlexW2395931049MaRDI QIDQ2953444

Catherine Larédo, Valentine Genon-Catalot

Publication date: 4 January 2017

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2016.1141910

zbMATH Keywords

parametric inferenceinvariant distributionsasymptotic mixed normalityrandom effects estimationmixed-effects stochastic differentialequations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (4)

A review on asymptotic inference in stochastic differential equations with mixed effects ⋮ Bidimensional random effect estimation in mixed stochastic differential model ⋮ Maximum likelihood estimation of stochastic differential equations with random effects driven by fractional Brownian motion ⋮ Adaptive estimation for degenerate diffusion processes

Uses Software

• MsdeParEst

Cites Work

• Unnamed Item
• On asymptotics related to classical inference in stochastic differential equations with random effects
• Bidimensional random effect estimation in mixed stochastic differential model
• Nonparametric estimation in a mixed-effect Ornstein-Uhlenbeck model
• Practical estimation of high dimensional stochastic differential mixed-effects models
• Convergence rate of MLE in generalized linear and nonlinear mixed-effects models: Theory and applications
• Nonparametric estimation for stochastic differential equations with random effects
• Strong consistency of the maximum likelihood estimator in generalized linear and nonlinear mixed-effects models
• Estimation of population parameters in stochastic differential equations with random effects in the diffusion coefficient
• Stochastic Differential Mixed-Effects Models
• Coupling a stochastic approximation version of EM with an MCMC procedure
• Maximum Likelihood Estimation for Stochastic Differential Equations with Random Effects
• Parametric inference for mixed models defined by stochastic differential equations
• Stochastic volatility models as hidden Markov models and statistical applications

This page was built for publication: Estimation for stochastic differential equations with mixed effects