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Maximum Likelihood Estimation for Stochastic Differential Equations with Random Effects

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  • MAUD DELATTRE
  • VALENTINE GENON-CATALOT
  • ADELINE SAMSON

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  • Maud Delattre & Valentine Genon-Catalot & Adeline Samson, 2013. "Maximum Likelihood Estimation for Stochastic Differential Equations with Random Effects," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(2), pages 322-343, June.
  • Handle: RePEc:bla:scjsta:v:40:y:2013:i:2:p:322-343
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    File URL: http://hdl.handle.net/10.1111/j.1467-9469.2012.00813.x
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    References listed on IDEAS

    as
    1. Picchini, Umberto & Ditlevsen, Susanne, 2011. "Practical estimation of high dimensional stochastic differential mixed-effects models," Computational Statistics & Data Analysis, Elsevier, vol. 55(3), pages 1426-1444, March.
    2. L. Nie, 2006. "Strong Consistency of the Maximum Likelihood Estimator in Generalized Linear and Nonlinear Mixed-Effects Models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 63(2), pages 123-143, April.
    3. Umberto Picchini & Andrea De Gaetano & Susanne Ditlevsen, 2010. "Stochastic Differential Mixed‐Effects Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 37(1), pages 67-90, March.
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    Cited by:

    1. Delattre, Maud & Genon-Catalot, Valentine & Larédo, Catherine, 2018. "Parametric inference for discrete observations of diffusion processes with mixed effects," Stochastic Processes and their Applications, Elsevier, vol. 128(6), pages 1929-1957.
    2. Dai, Min & Duan, Jinqiao & Liao, Junjun & Wang, Xiangjun, 2021. "Maximum likelihood estimation of stochastic differential equations with random effects driven by fractional Brownian motion," Applied Mathematics and Computation, Elsevier, vol. 397(C).
    3. Maitra, Trisha & Bhattacharya, Sourabh, 2015. "On Bayesian asymptotics in stochastic differential equations with random effects," Statistics & Probability Letters, Elsevier, vol. 103(C), pages 148-159.
    4. Maitra, Trisha & Bhattacharya, Sourabh, 2016. "On asymptotics related to classical inference in stochastic differential equations with random effects," Statistics & Probability Letters, Elsevier, vol. 110(C), pages 278-288.
    5. Nelson T. Jamba & Gonçalo Jacinto & Patrícia A. Filipe & Carlos A. Braumann, 2022. "Likelihood Function through the Delta Approximation in Mixed SDE Models," Mathematics, MDPI, vol. 10(3), pages 1-20, January.

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