Bidimensional random effect estimation in mixed stochastic differential model
نویسندگان
چکیده
منابع مشابه
Maximum likelihood estimation for stochastic differential equations with random effects Running headline: Mixed stochastic differential equations
We consider N independent stochastic processes (Xi(t), t ∈ [0, Ti]), i = 1, . . . , N , defined by a stochastic differential equation with drift term depending on a random variable φi. The distribution of the random effect φi depends on unknown parameters which are to be estimated from the continuous observation of the processes Xi. We give the expression of the exact likelihood. When the drift...
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متن کاملMaximum likelihood estimation for stochastic differential equations with random effects
We consider N independent stochastic processes (Xi(t), t ∈ [0, Ti]), i = 1, . . . , N , defined by a stochastic differential equation with drift term depending on a random variable φi. The distribution of the random effect φi depends on unknown parameters which are to be estimated from the continuous observation of the processes Xi. We give the expression of the exact likelihood. When the drift...
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ژورنال
عنوان ژورنال: Statistical Inference for Stochastic Processes
سال: 2015
ISSN: 1387-0874,1572-9311
DOI: 10.1007/s11203-015-9122-0