On Bayesian asymptotics in stochastic differential equations with random effects

DOI10.1016/J.SPL.2015.04.009zbMATH Open1328.62149arXiv1407.3971OpenAlexW2962847461MaRDI QIDQ893977FDOQ893977

Authors: Trisha Maitra, Sourabh Bhattacharya 

Publication date: 23 November 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: Delattre et al. (2013) investigated asymptotic properties of the maximum likelihood estimator of the population parameters of the random effects associated with n independent stochastic differential equations (SDEs) assuming that the SDEs are independent and identical (iid). In this article, we consider the Bayesian approach to learning about the population parameters, and prove consistency and asymptotic normality of the corresponding posterior distribution in the iid set-up as well as when the SDEs are independent but non-identical.

Full work available at URL: https://arxiv.org/abs/1407.3971

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zbMATH Keywords

asymptotic normalityrandom effectsmaximum likelihood estimatorstochastic differential equationsposterior consistencyposterior normality

Mathematics Subject Classification ID

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

Cites Work

• On posterior consistency in nonparametric regression problems
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• Asymptotic Properties of Maximum Likelihood Estimators for the Independent Not Identically Distributed Case
• Maximum Likelihood Estimation for Stochastic Differential Equations with Random Effects
• Theory of statistics
• The Bayesian Analysis of Population Pharmacokinetic Models
• Bayesian Analysis of Linear and Non-Linear Population Models by Using the Gibbs Sampler

Cited In (7)

• A review on asymptotic inference in stochastic differential equations with mixed effects
• Consistence and asymptotic distribution of parameter estimators of a food-limited species model with random perturbation
• 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
• Title not available (Why is that?)
• On classical and Bayesian asymptotics in state space stochastic differential equations
• Asymptotic Bayesian estimation of a first order equation with small diffusion

Uses Software

• MsdeParEst

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