Second-order stochastic differential equation model as an alternative for the ALT and CALT models

DOI10.1007/S10182-010-0131-4MaRDI QIDQ1633189zbMATH OpenOpenAlexWikidataFDO

Authors Johan H. L. Oud

Publication date 19 December 2018

Published in AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 2.0 Generic

Full work available at URL https://doi.org/10.1007/s10182-010-0131-4

zbMATH Keywords

asymptotic stabilitycontinuous-time autoregressive latent trajectory modelexact discrete modelrandom slopessecond-order stochastic differential equation modelstructural equation modelingtime-specifictime-varying

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to psychology (62P15) Applications of statistics to social sciences (62P25)

Recommendations

• scientific article; zbMATH DE number 97735
• ALM models based on second order stochastic dominance
• Second-order approximation of dynamic models with time-varying risk
• scientific article; zbMATH DE number 177106
• Second-order algorithm for simulating stochastic differential equations with white noises
• Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations
• A second order stochastic differential equation for the force of interest
• Parameter estimation for stochastic partial differential equations of second order
• Second order Runge-Kutta methods for Stratonovich stochastic differential equations

Cites work

• Analyzing reciprocal relationships by means of the continuous‐time autoregressive latent trajectory model
• Continuous time state space modeling of panel data by means of sem
• scientific article; zbMATH DE number 3984433 (Why is no real title available?)
• scientific article; zbMATH DE number 3438157 (Why is no real title available?)
• Introduction of a new measure for detecting poor fit due to omitted nonlinear terms in SEM
• Introduction to stochastic integration.
• Latent Curve Models
• Mathematics of Kalman-Bucy filtering
• Problems with the estimation of stochastic differential equations using structural equations models

Cited in

(3)

• ALM models based on second order stochastic dominance
• A note on the usefulness of constrained fourth-order latent differential equation models in the case of small T
• Analyzing reciprocal relationships by means of the continuous‐time autoregressive latent trajectory model

This page was built for publication: Second-order stochastic differential equation model as an alternative for the ALT and CALT models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1633189)