On Bayesian asymptotics in stochastic differential equations with random effects

DOI10.1016/J.SPL.2015.04.009MaRDI QIDQ893977zbMATHOpenAlexFDO

Authors Trisha Maitra, Sourabh Bhattacharya

Publication date 23 November 2015

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

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

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)

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.

Recommendations

• Bayesian estimate and asymptotic property of stochastic differential equations with perturbation
• On classical and Bayesian asymptotics in stochastic differential equations with random effects having mixture normal distributions
• Bayes estimation for some stochastic partial differential equations
• On asymptotics related to classical inference in stochastic differential equations with random effects
• Bayesian analysis for mixed-effects models defined by stochastic differential equations
• Bayesian estimation of a class of second-order stochastic differential equations
• On classical and Bayesian asymptotics in state space stochastic differential equations
• A review on asymptotic inference in stochastic differential equations with mixed effects
• Publication:3486668

Cites work

• scientific article; zbMATH DE number 3658755 (Why is no real title available?)
• scientific article; zbMATH DE number 840151 (Why is no real title available?)
• Asymptotic Properties of Maximum Likelihood Estimators for the Independent Not Identically Distributed Case
• Bayesian Analysis of Linear and Non-Linear Population Models by Using the Gibbs Sampler
• Maximum Likelihood Estimation for Stochastic Differential Equations with Random Effects
• On posterior consistency in nonparametric regression problems
• The Bayesian Analysis of Population Pharmacokinetic Models
• Theory of statistics

Cited in

(9)

• On asymptotics related to classical inference in stochastic differential equations with random effects
• Bayesian estimate and asymptotic property of stochastic differential equations with perturbation
• On classical and Bayesian asymptotics in state space stochastic differential equations
• 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 asymptotic inference in stochastic differential equations with time-varying covariates
• On classical and Bayesian asymptotics in stochastic differential equations with random effects having mixture normal distributions
• Asymptotic Bayesian estimation of a first order equation with small diffusion
• scientific article; zbMATH DE number 7192329 (Why is no real title available?)

Describes a project that uses

Uses Software

• MsdeParEst

This page was built for publication: On Bayesian asymptotics in stochastic differential equations with random effects

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q893977)