Parametric inference for mixed models defined by stochastic differential equations
نویسندگان
چکیده
منابع مشابه
Parametric inference for mixed models defined by stochastic differential equations
Non-linear mixed models defined by stochastic differential equations (SDEs) are considered: the parameters of the diffusion process are random variables and vary among the individuals. A maximum likelihood estimation method based on the Stochastic Approximation EM algorithm, is proposed. This estimation method uses the Euler-Maruyama approximation of the diffusion, achieved using latent auxilia...
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ژورنال
عنوان ژورنال: ESAIM: Probability and Statistics
سال: 2008
ISSN: 1292-8100,1262-3318
DOI: 10.1051/ps:2007045