A review on asymptotic inference in stochastic differential equations with mixed effects

DOI10.1007/s42081-021-00105-3zbMath1476.62173arXiv2009.07516OpenAlexW3128989914WikidataQ115370871 ScholiaQ115370871MaRDI QIDQ825348

Maud Delattre

Publication date: 17 December 2021

Published in: Japanese Journal of Statistics and Data Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.07516

zbMATH Keywords

asymptotic propertiesstochastic differential equationsrandom effectsnonparametric inferenceparametric inferencehigh-frequency observations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Uses Software

• S-PLUS
• MsdeParEst
• mixedsde

Cites Work

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• Mixtures of stochastic differential equations with random effects: application to data clustering
• On asymptotics related to classical inference in stochastic differential equations with random effects
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• Coupling the SAEM algorithm and the extended Kalman filter for maximum likelihood estimation in mixed-effects diffusion models
• Practical estimation of high dimensional stochastic differential mixed-effects models
• Exponential families of stochastic processes
• Statistical inference for ergodic diffusion processes.
• Particle methods for stochastic differential equation 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
• Estimation for stochastic differential equations with mixed effects
• Bayesian Analysis of Growth Curves Using Mixed Models Defined by Stochastic Differential Equations
• Stochastic Differential Mixed-Effects Models
• Mixed-Effects Models in S and S-PLUS
• Maximum Likelihood Estimation for Stochastic Differential Equations with Random Effects
• Parametric inference for mixed models defined by stochastic differential equations

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