Bidimensional random effect estimation in mixed stochastic differential model

DOI10.1007/S11203-015-9122-0MaRDI QIDQ300772zbMATHOpenAlexFDO

Authors C. M. Dion, V. Genon-Catalot

Publication date 29 June 2016

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11203-015-9122-0

zbMATH Keywords

density estimationkernel estimatormixed-effects modelsstochastic differential equationsadaptive bandwidthmean integrated squared error

Mathematics Subject Classification ID

Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

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• Statistical Methods for Stochastic Differential Equations
• Statistical inference for ergodic diffusion processes.
• Stochastic volatility models as hidden Markov models and statistical applications

Cited in

(11)

• Nadaraya–Watson estimator for I.I.D. paths of diffusion processes
• A note on BIC in mixed-effects models
• Estimation for stochastic differential equations with mixed effects
• Nonparametric estimation for stochastic differential equations with random effects
• Local bandwidth selection for kernel density estimation in a bifurcating Markov chain model
• A review on asymptotic inference in stochastic differential equations with mixed effects
• Nonparametric estimation for SDE with sparsely sampled paths: an FDA perspective
• Nonparametric drift estimation for i.i.d. paths of stochastic differential equations
• Mixtures of stochastic differential equations with random effects: application to data clustering
• Nonparametric estimation for i.i.d. paths of fractional SDE
• Nonparametric estimation in a mixed-effect Ornstein-Uhlenbeck model

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Uses Software

• MsdeParEst

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