Bidimensional random effect estimation in mixed stochastic differential model
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Publication:300772
DOI10.1007/s11203-015-9122-0zbMath1342.62138MaRDI QIDQ300772
F. Blanchet-Sadri, M. Dambrine
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
stochastic differential equations; density estimation; kernel estimator; mean integrated squared error; mixed-effects models; adaptive bandwidth
62G07: Density estimation
62M05: Markov processes: estimation; hidden Markov models
60J60: Diffusion processes
Uses Software