Coupling the SAEM algorithm and the extended Kalman filter for maximum likelihood estimation in mixed-effects diffusion models
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Publication:896589
DOI10.4310/SII.2013.V6.N4.A10zbMATH Open1326.93121MaRDI QIDQ896589FDOQ896589
Publication date: 10 December 2015
Published in: Statistics and Its Interface (Search for Journal in Brave)
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Filtering in stochastic control theory (93E11) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cited In (14)
- A review on asymptotic inference in stochastic differential equations with mixed effects
- Nonparametric drift estimation for i.i.d. paths of stochastic differential equations
- Bidimensional random effect estimation in mixed stochastic differential model
- Efficient inference for stochastic differential equation mixed-effects models using correlated particle pseudo-marginal algorithms
- Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
- Nonparametric estimation for i.i.d. paths of fractional SDE
- Estimation of population parameters in stochastic differential equations with random effects in the diffusion coefficient
- Nadaraya–Watson estimator for I.I.D. paths of diffusion processes
- An improved SAEM algorithm for maximum likelihood estimation in mixtures of non linear mixed effects models
- A note on BIC in mixed-effects models
- Nonparametric estimation in a mixed-effect Ornstein-Uhlenbeck model
- Inference in Gaussian state-space models with mixed effects for multiple epidemic dynamics
- Estimation for dynamical systems using a population-based Kalman filter -- applications in computational biology
- Parameter estimation in non-linear mixed effects models with SAEM algorithm: extension from ODE to PDE
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