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On Bayesian asymptotics in stochastic differential equations with random effects

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  • Maitra, Trisha
  • Bhattacharya, Sourabh

Abstract

Delattre et al. (2013) investigated asymptotic properties of the maximum likelihood estimator of the population parameters of the random effects associated with n independent stochastic differential equations (SDE’s) assuming that the SDE’s are independent and identical (iid).

Suggested Citation

  • 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.
    • Handle: RePEc:eee:stapro:v:103:y:2015:i:c:p:148-159
    DOI: 10.1016/j.spl.2015.04.009
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    References listed on IDEAS

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    1. Choi, Taeryon & Schervish, Mark J., 2007. "On posterior consistency in nonparametric regression problems," Journal of Multivariate Analysis, Elsevier, vol. 98(10), pages 1969-1987, November.
    2. 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.
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    Cited by:

    1. 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.

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