Practical estimation of high dimensional stochastic differential mixed-effects models
Stochastic differential equations (SDEs) are established tools for modeling physical phenomena whose dynamics are affected by random noise. By estimating parameters of an SDE, intrinsic randomness of a system around its drift can be identified and separated from the drift itself. When it is of interest to model dynamics within a given population, i.e. to model simultaneously the performance of several experiments or subjects, mixed-effects modelling allows for the distinction of between and within experiment variability. A framework for modeling dynamics within a population using SDEs is proposed, representing simultaneously several sources of variation: variability between experiments using a mixed-effects approach and stochasticity in the individual dynamics, using SDEs. These stochastic differential mixed-effects models have applications in e.g. pharmacokinetics/pharmacodynamics and biomedical modelling. A parameter estimation method is proposed and computational guidelines for an efficient implementation are given. Finally the method is evaluated using simulations from standard models like the two-dimensional Ornstein-Uhlenbeck (OU) and the square root models.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Foulley, Jean-Louis & Samson, Adeline & Donnet, Sophie, 2010. "Bayesian analysis of growth curves using mixed models defined by stochastic differential equations," Economics Papers from University Paris Dauphine 123456789/1124, Paris Dauphine University.
- 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.
- Tang, Cheng Yong & Chen, Song Xi, 2009. "Parameter estimation and bias correction for diffusion processes," Journal of Econometrics, Elsevier, vol. 149(1), pages 65-81, April.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
- Skaug, Hans J. & Fournier, David A., 2006. "Automatic approximation of the marginal likelihood in non-Gaussian hierarchical models," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 699-709, November.
- Joe, Harry, 2008. "Accuracy of Laplace approximation for discrete response mixed models," Computational Statistics & Data Analysis, Elsevier, vol. 52(12), pages 5066-5074, August.
When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:55:y:2011:i:3:p:1426-1444. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.