Practical estimation of high dimensional stochastic differential mixed-effects models
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Publication:901512
DOI10.1016/j.csda.2010.10.003zbMath1328.65014arXiv1004.3871WikidataQ55940919 ScholiaQ55940919MaRDI QIDQ901512
Susanne Ditlevsen, Umberto Picchini
Publication date: 12 January 2016
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1004.3871
stochastic differential equation; maximum likelihood estimation; automatic differentiation; Cox-Ingersoll-Ross process; population estimation; closed form transition density expansion
62F10: Point estimation
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
Uses Software