Estimating reducible stochastic differential equations by conversion to a least-squares problem
From MaRDI portal
Publication:159694
DOI10.1007/S00180-018-0837-4zbMATH Open1417.65039arXiv1710.06021OpenAlexW3097995036WikidataQ129272406 ScholiaQ129272406MaRDI QIDQ159694FDOQ159694
Authors: Oscar García, Xianqiang Yang 
Publication date: 10 September 2018
Published in: Computational Statistics (Search for Journal in Brave)
Abstract: Stochastic differential equations (SDEs) are increasingly used in longitudinal data analysis, compartmental models, growth modelling, and other applications in a number of disciplines. Parameter estimation, however, currently requires specialized software packages that can be difficult to use and understand. This work develops and demonstrates an approach for estimating reducible SDEs using standard nonlinear least squares or mixed-effects software. Reducible SDEs are obtained through a change of variables in linear SDEs, and are sufficiently flexible for modelling many situations. The approach is based on extending a known technique that converts maximum likelihood estimation for a Gaussian model with a nonlinear transformation of the dependent variable into an equivalent least-squares problem. A similar idea can be used for Bayesian maximum a posteriori estimation. It is shown how to obtain parameter estimates for reducible SDEs containing both process and observation noise, including hierarchical models with either fixed or random group parameters. Code and examples in R are given. Univariate SDEs are discussed in detail, with extensions to the multivariate case outlined more briefly. The use of well tested and familiar standard software should make SDE modelling more transparent and accessible. Keywords: stochastic processes; longitudinal data; growth curves; compartmental models; mixed-effects; R
Full work available at URL: https://arxiv.org/abs/1710.06021
Recommendations
- Practical estimation of high dimensional stochastic differential mixed-effects models
- Parametric inference for mixed models defined by stochastic differential equations
- Parameter estimation in nonlinear stochastic differential equations
- Estimation of parameters in mean-reverting stochastic systems
- Estimating the parameters of stochastic differential equations
Computational methods for problems pertaining to statistics (62-08) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cites Work
- Partitioned variable metric updates for large structured optimization problems
- Statistical Analysis of Financial Data in S-Plus
- Mixed-Effects Models in S and S-PLUS
- Title not available (Why is that?)
- Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
- Title not available (Why is that?)
- Title not available (Why is that?)
- Stochastic differential equations. An introduction with applications.
- A new mathematical model for combining growth and energy intake in animals: the case of the growing pig
- Bayesian inference for diffusion-driven mixed-effects models
- Stochastic von Bertalanffy models, with applications to fish recruitment
- Parameter estimation in stochastic differential equations.
- Loosely coupled nonlinear least squares
- Maximum likelihood estimates of a class of one-dimensional stochastic differential equation models from discrete data
- Modelling animal growth in random environments: An application using nonparametric estima\-tion
- Bayesian Analysis of Growth Curves Using Mixed Models Defined by Stochastic Differential Equations
- Stochastic differential mixed-effect models
- Parameter estimation for a bidimensional partially observed Ornstein-Uhlenbeck process with biological application
- Computational Methods for Linear Matrix Equations
- A Stochastic Differential Equation Model for the Height Growth of Forest Stands
- Modeling with Itô Stochastic Differential Equations
- A Stochastic Model for Coupled Enzyme System
- Closed-form likelihoods for stochastic differential equation growth models
- Title not available (Why is that?)
- Title not available (Why is that?)
- Parametric inference for mixed models defined by stochastic differential equations
- Stochastic differential equations in science and engineering. With CD-ROM.
- Stochastic differential equations in mathematical demography: A review
- Handbook of stochastic methods for physics, chemistry and the natural sciences.
- Parameter estimation and change-point detection from dynamic contrast enhanced MRI data using stochastic differential equations
- Practical estimation of high dimensional stochastic differential mixed-effects models
- Itô's stochastic calculus: its surprising power for applications
Cited In (4)
- Direct solution to the general reduced-order stochastic observation problem
- A novel unification method to characterize a broad class of growth curve models using relative growth rate
- Statistical analysis and first-passage-time applications of a lognormal diffusion process with multi-sigmoidal logistic mean
- resde
Uses Software
This page was built for publication: Estimating reducible stochastic differential equations by conversion to a least-squares problem
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q159694)
