On classical and Bayesian asymptotics in state space stochastic differential equations
From MaRDI portal
(Redirected from Publication:783279)
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.
Recommendations
- On Bayesian asymptotics in stochastic differential equations with random effects
- On asymptotic inference in stochastic differential equations with time-varying covariates
- On asymptotics related to classical inference in stochastic differential equations with random effects
- On classical and Bayesian asymptotics in stochastic differential equations with random effects having mixture normal distributions
- Asymptotic normality of the maximum likelihood estimator in state space models
Cites work
- scientific article; zbMATH DE number 5871504 (Why is no real title available?)
- scientific article; zbMATH DE number 722978 (Why is no real title available?)
- scientific article; zbMATH DE number 3438157 (Why is no real title available?)
- scientific article; zbMATH DE number 1546853 (Why is no real title available?)
- scientific article; zbMATH DE number 3256958 (Why is no real title available?)
- Absolute Continuity and Radon-Nikodym Derivatives for Certain Measures Relative to Wiener Measure
- Development of a restricted state space stochastic differential equation model for bacterial growth in rich media
- Dynamics of Bayesian updating with dependent data and misspecified models
- Inference in hidden Markov models.
- Maximum Likelihood Estimation for Stochastic Differential Equations with Random Effects
- Maximum likelihood estimation of hidden Markov processes
- Nested particle filters for online parameter estimation in discrete-time state-space Markov models
- On Bayesian asymptotics in stochastic differential equations with random effects
- On Unscented Kalman Filtering for State Estimation of Continuous-Time Nonlinear Systems
- On asymptotics related to classical inference in stochastic differential equations with random effects
- On the Differential Equations Satisfied by Conditional Probablitity Densities of Markov Processes, with Applications
- Parameter estimation for a bidimensional partially observed Ornstein-Uhlenbeck process with biological application
- Parameter estimation of population pharmacokinetic models with stochastic differential equations: implementation of an estimation algorithm
- Parametric inference for mixed models defined by stochastic differential equations
- Stochastic differential equations. An introduction with applications.
- Stochastic models, estimation, and control. Vol. 1
- Stochastic models, estimation, and control. Vol. 2,3
- Stochastic processes and filtering theory
- Theory of statistics
- Time series analysis and its applications. With R examples
- Time series analysis by state space methods
- \(\mathrm{SMC}^2\): an efficient algorithm for sequential analysis of state space models
Cited in
(4)- On asymptotics related to classical inference in stochastic differential equations with random effects
- On asymptotic inference in stochastic differential equations with time-varying covariates
- On Bayesian asymptotics in stochastic differential equations with random effects
- On classical and Bayesian asymptotics in stochastic differential equations with random effects having mixture normal distributions
This page was built for publication: On classical and Bayesian asymptotics in state space stochastic differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q783279)
