On Bayesian asymptotics in stochastic differential equations with random effects

DOI10.1016/j.spl.2015.04.009zbMath1328.62149arXiv1407.3971OpenAlexW2962847461MaRDI QIDQ893977

Sourabh Bhattacharya, Trisha Maitra

Publication date: 23 November 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.3971

zbMATH Keywords

asymptotic normalitystochastic differential equationsrandom effectsmaximum likelihood estimatorposterior consistencyposterior normality

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (3)

On asymptotics related to classical inference in stochastic differential equations with random effects ⋮ On classical and Bayesian asymptotics in stochastic differential equations with random effects having mixture normal distributions ⋮ On classical and Bayesian asymptotics in state space stochastic differential equations

Uses Software

• MsdeParEst

Cites Work

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• Theory of statistics
• On posterior consistency in nonparametric regression problems
• The Bayesian Analysis of Population Pharmacokinetic Models
• Bayesian Analysis of Linear and Non-Linear Population Models by Using the Gibbs Sampler
• Maximum Likelihood Estimation for Stochastic Differential Equations with Random Effects
• Asymptotic Properties of Maximum Likelihood Estimators for the Independent Not Identically Distributed Case

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