On classical and Bayesian asymptotics in state space stochastic differential equations

DOI10.1214/19-BJPS439zbMATH Open1448.60125arXiv1507.06128MaRDI QIDQ783279FDOQ783279

Trisha Maitra, Sourabh Bhattacharya

Publication date: 12 August 2020

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Abstract: In this article we investigate consistency and asymptotic normality of the maximum likelihood and the posterior distribution of the parameters in the context of state space stochastic differential equations (SDEs). We then extend our asymptotic theory to random effects models based on systems of state space SDEs, covering both independent and identical and independent but non-identical collections of state space SDEs. We also address asymptotic inference in the case of multidimensional linear random effects, and in situations where the data are available in discretized forms. It is important to note that asymptotic inference, either in the classical or in the Bayesian paradigm, has not been hitherto investigated in state space SDEs.

Full work available at URL: https://arxiv.org/abs/1507.06128

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zbMATH Keywords

asymptotic normalityrandom effectsKullback-Leibler divergenceposterior consistencystochastic stabilitystate space stochastic differential equations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (1)

• On Bayesian asymptotics in stochastic differential equations with random effects

Uses Software

• astsa
• MsdeParEst

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