Estimation of a mixed effects model using a partially observed diffusion process

MaRDI QIDQ5132907zbMATH OpenFDO

Authors José Soto, Saba Infante, Isidro R. Amaro, Franklin Camacho

Publication date 12 November 2020

zbMATH Keywords

Markov chainsmixed effects modelsMonte Carlo algorithmsstochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Diagnostics, and linear inference and regression (62J20) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

Recommendations

• Stochastic differential mixed-effect models
• Mixed effects in stochastic differential equation models
• Parametric inference for mixed models defined by stochastic differential equations
• Estimation for stochastic differential equations with mixed effects
• Practical estimation of high dimensional stochastic differential mixed-effects models

Cited in

(6)

• Parameter estimation of complex mixed models based on meta-model approach
• Bidimensional random effect estimation in mixed stochastic differential model
• Stochastic differential mixed-effect models
• Mixed effects in stochastic differential equation models
• Using PMCMC in EM algorithm for stochastic mixed models: theoretical and practical issues
• Coupling the SAEM algorithm and the extended Kalman filter for maximum likelihood estimation in mixed-effects diffusion models

This page was built for publication: Estimation of a mixed effects model using a partially observed diffusion process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5132907)