Parameter Estimation for a Bidimensional Partially Observed Ornstein-Uhlenbeck Process with Biological Application

DOI10.1111/j.1467-9469.2009.00679.xzbMath1224.62032OpenAlexW2103389283MaRDI QIDQ3077792

Adeline Samson, Benjamin Favetto

Publication date: 22 February 2011

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2009.00679.x

zbMATH Keywords

asymptotic normalitymaximum likelihood estimationEM-algorithm, identifiability

Mathematics Subject Classification ID

Related Items (13)

Analysis of a stochastic logistic model with diffusion and Ornstein–Uhlenbeck process ⋮ Analysis of a stochastic Lotka–Volterra competitive system with infinite delays and Ornstein–Uhlenbeck process ⋮ Introduction to Stochastic Models in Biology ⋮ Adaptive wavelet estimation of the diffusion coefficient under additive error measurements ⋮ Practical estimation of high dimensional stochastic differential mixed-effects models ⋮ Deviation inequalities for quadratic Wiener functionals and moderate deviations for parameter estimators ⋮ A contrast estimator for completely or partially observed hypoelliptic diffusion ⋮ Parameter estimation and change-point detection from dynamic contrast enhanced MRI data using stochastic differential equations ⋮ Weighted Limit Theorems for Continuous-Time Vector Martingales with Explosive and Mixed Growth ⋮ On the Parameter Estimation in the Schwartz-Smith’s Two-Factor Model ⋮ Inference for partially observed epidemic dynamics guided by Kalman filtering techniques ⋮ Estimating reducible stochastic differential equations by conversion to a least-squares problem ⋮ On classical and Bayesian asymptotics in state space stochastic differential equations

Cites Work

• Unnamed Item
• Unnamed Item
• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Stochastic vs. deterministic uptake of dodecanedioic acid by isolated rat livers
• Modeling the euglycemic hyperinsulinemic clamp by stochastic differential equations
• On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
• Quasi-maximum likelihood estimation of stochastic volatility models
• Parameter estimation in a stochastic model of the tubuloglomerular feedback mechanism in a rat nephron
• Martingale estimation functions for discretely observed diffusion processes
• Leroux's method for general hidden Markov models
• Maximum likelihood estimation of a time-inhomogeneous stochastic differential model of glucose dynamics
• A new method for evaluating the log-likelihood gradient, the Hessian, and the Fisher information matrix for linear dynamic systems
• Estimation of an Ergodic Diffusion from Discrete Observations
• Conditional Likelihood Estimators for Hidden Markov Models and Stochastic Volatility Models

This page was built for publication: Parameter Estimation for a Bidimensional Partially Observed Ornstein-Uhlenbeck Process with Biological Application