Nonparametric estimation for stochastic differential equations with random effects

DOI10.1016/j.spa.2013.04.009zbMath1284.62251OpenAlexW2093564649MaRDI QIDQ2447643

Adeline Samson, Valentine Genon-Catalot, Fabienne Comte

Publication date: 28 April 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2013.04.009

zbMATH Keywords

random effectsdiffusion processesmixed models

Mathematics Subject Classification ID

Related Items (15)

A review on asymptotic inference in stochastic differential equations with mixed effects ⋮ Bidimensional random effect estimation in mixed stochastic differential model ⋮ Estimation for stochastic differential equations with mixed effects ⋮ Nadaraya–Watson estimator for I.I.D. paths of diffusion processes ⋮ Nonparametric estimation for SDE with sparsely sampled paths: an FDA perspective ⋮ New adaptive strategies for nonparametric estimation in linear mixed models ⋮ Nonparametric estimation in a mixed-effect Ornstein-Uhlenbeck model ⋮ Adaptive nonparametric estimation of a component density in a two-class mixture model ⋮ Nonparametric estimation for i.i.d. paths of fractional SDE ⋮ Nonparametric drift estimation for i.i.d. paths of stochastic differential equations ⋮ Stochastic degradation process modeling and remaining useful life estimation with flexible random-effects ⋮ Nonparametric estimation for small fractional diffusion processes with random effects ⋮ Adaptive estimation in the linear random coefficients model when regressors have limited variation ⋮ A martingale formulation for stochastic compartmental susceptible-infected-recovered (SIR) models to analyze finite size effects in COVID-19 case studies ⋮ Mixtures of stochastic differential equations with random effects: application to data clustering

Uses Software

• S-PLUS
• KernSmooth
• MEMSS
• MsdeParEst

Cites Work

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• 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
• Introduction to nonparametric estimation

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