Bidimensional random effect estimation in mixed stochastic differential model

DOI10.1007/s11203-015-9122-0zbMath1342.62138OpenAlexW899745688MaRDI 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

zbMATH Keywords

stochastic differential equationsdensity estimationkernel estimatormean integrated squared errormixed-effects modelsadaptive bandwidth

Mathematics Subject Classification ID

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

Related Items (9)

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

Uses Software

• MsdeParEst

Cites Work

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