Maximum Likelihood Estimation for Stochastic Differential Equations with Random Effects

DOI10.1111/j.1467-9469.2012.00813.xzbMath1328.62148OpenAlexW2137571264MaRDI QIDQ4923057

Valentine Genon-Catalot, Adeline Samson, Maud Delattre

Publication date: 5 June 2013

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

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2012.00813.x

zbMATH Keywords

consistencyasymptotic normalitystochastic differential equationsmaximum likelihood estimatormixed-effects models

Mathematics Subject Classification ID

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

Related Items (23)

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Uses Software

• MsdeParEst

Cites Work

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• Stochastic vs. deterministic uptake of dodecanedioic acid by isolated rat livers
• 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
• Strong consistency of the maximum likelihood estimator in generalized linear and nonlinear mixed-effects models
• Stochastic Differential Mixed-Effects Models
• Maximum likelihood estimation of a time-inhomogeneous stochastic differential model of glucose dynamics
• Asymptotic Statistics
• Laplace's approximation for nonlinear mixed models
• Coupling a stochastic approximation version of EM with an MCMC procedure
• Parametric inference for mixed models defined by stochastic differential equations

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