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Stochastic Differential Mixed‐Effects Models

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  • UMBERTO PICCHINI
  • ANDREA DE GAETANO
  • SUSANNE DITLEVSEN

Abstract

. Stochastic differential equations have been shown useful in describing random continuous time processes. Biomedical experiments often imply repeated measurements on a series of experimental units and differences between units can be represented by incorporating random effects into the model. When both system noise and random effects are considered, stochastic differential mixed‐effects models ensue. This class of models enables the simultaneous representation of randomness in the dynamics of the phenomena being considered and variability between experimental units, thus providing a powerful modelling tool with immediate applications in biomedicine and pharmacokinetic/pharmacodynamic studies. In most cases the likelihood function is not available, and thus maximum likelihood estimation of the unknown parameters is not possible. Here we propose a computationally fast approximated maximum likelihood procedure for the estimation of the non‐random parameters and the random effects. The method is evaluated on simulations from some famous diffusion processes and on real data sets.

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  • 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.
    • Handle: RePEc:bla:scjsta:v:37:y:2010:i:1:p:67-90
    DOI: 10.1111/j.1467-9469.2009.00665.x
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    1. Comte, F. & Genon-Catalot, V. & Samson, A., 2013. "Nonparametric estimation for stochastic differential equations with random effects," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2522-2551.
    2. 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.
    3. 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.
    4. Oscar García, 2019. "Estimating reducible stochastic differential equations by conversion to a least-squares problem," Computational Statistics, Springer, vol. 34(1), pages 23-46, March.
    5. 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).
    6. Fabienne Comte & Nicolas Marie, 2021. "Nonparametric estimation for I.I.D. paths of fractional SDE," Statistical Inference for Stochastic Processes, Springer, vol. 24(3), pages 669-705, October.
    7. Maud Delattre & Valentine Genon-Catalot & Catherine Larédo, 2018. "Approximate maximum likelihood estimation for stochastic differential equations with random effects in the drift and the diffusion," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 81(8), pages 953-983, November.
    8. Giorgos Sermaidis & Omiros Papaspiliopoulos & Gareth O. Roberts & Alexandros Beskos & Paul Fearnhead, 2013. "Markov Chain Monte Carlo for Exact Inference for Diffusions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(2), pages 294-321, June.
    9. Charlotte Dion, 2016. "Nonparametric estimation in a mixed-effect Ornstein–Uhlenbeck model," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 79(8), pages 919-951, November.
    10. 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.
    11. 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.
    12. Wiqvist, Samuel & Golightly, Andrew & McLean, Ashleigh T. & Picchini, Umberto, 2021. "Efficient inference for stochastic differential equation mixed-effects models using correlated particle pseudo-marginal algorithms," Computational Statistics & Data Analysis, Elsevier, vol. 157(C).
    13. B. L. S. Prakasa Rao, 2021. "Nonparametric Estimation for Stochastic Differential Equations Driven by Mixed Fractional Brownian Motion with Random Effects," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(2), pages 554-568, August.

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