Maximum likelihood estimation of stochastic differential equations with random effects driven by fractional Brownian motion
Author
Abstract
Suggested Citation
DOI: 10.1016/j.amc.2020.125927
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- 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.
- Hu, Yaozhong & Nualart, David & Song, Xiaoming, 2008. "A singular stochastic differential equation driven by fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2075-2085, October.
- Umberto Picchini & Julie Lyng Forman, 2019. "Bayesian inference for stochastic differential equation mixed effects models of a tumour xenography study," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 68(4), pages 887-913, August.
- M.L. Kleptsyna & A. Le Breton & M.-C. Roubaud, 2000. "Parameter Estimation and Optimal Filtering for Fractional Type Stochastic Systems," Statistical Inference for Stochastic Processes, Springer, vol. 3(1), pages 173-182, January.
- 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.
- 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.
- M.L. Kleptsyna & A. Le Breton, 2002. "Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process," Statistical Inference for Stochastic Processes, Springer, vol. 5(3), pages 229-248, October.
- 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.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Wang, Jixia & Xiao, Xiaofang & Li, Chao, 2023. "Least squares estimations for approximate fractional Vasicek model driven by a semimartingale," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 208(C), pages 207-218.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- 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.
- 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.
- Mohammadi, Neda & Santoro, Leonardo V. & Panaretos, Victor M., 2024. "Nonparametric estimation for SDE with sparsely sampled paths: An FDA perspective," Stochastic Processes and their Applications, Elsevier, vol. 167(C).
- Hui Jiang & Jingying Zhou, 2023. "An Exponential Nonuniform Berry–Esseen Bound for the Fractional Ornstein–Uhlenbeck Process," Journal of Theoretical Probability, Springer, vol. 36(2), pages 1037-1058, June.
- 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.
- 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).
- Lihong Guo, 2024. "Renormalization Group Method for a Stochastic Differential Equation with Multiplicative Fractional White Noise," Mathematics, MDPI, vol. 12(3), pages 1-20, January.
- 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.
- Hu, Yaozhong & Nualart, David, 2010. "Parameter estimation for fractional Ornstein-Uhlenbeck processes," Statistics & Probability Letters, Elsevier, vol. 80(11-12), pages 1030-1038, June.
- John-Fritz Thony & Jean Vaillant, 2022. "Parameter Estimation for a Fractional Black–Scholes Model with Jumps from Discrete Time Observations," Mathematics, MDPI, vol. 10(22), pages 1-17, November.
- Mishura, Yuliya, 2014. "Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent," Statistics & Probability Letters, Elsevier, vol. 86(C), pages 24-29.
- Xu, Weijun & Sun, Qi & Xiao, Weilin, 2012. "A new energy model to capture the behavior of energy price processes," Economic Modelling, Elsevier, vol. 29(5), pages 1585-1591.
- Falkowski, Adrian & Słomiński, Leszek, 2017. "SDEs with constraints driven by semimartingales and processes with bounded p-variation," Stochastic Processes and their Applications, Elsevier, vol. 127(11), pages 3536-3557.
- Kęstutis Kubilius & Aidas Medžiūnas, 2020. "Positive Solutions of the Fractional SDEs with Non-Lipschitz Diffusion Coefficient," Mathematics, MDPI, vol. 9(1), pages 1-14, December.
- Álvarez-Liébana, Javier & Bosq, Denis & Ruiz-Medina, María D., 2016. "Consistency of the plug-in functional predictor of the Ornstein–Uhlenbeck process in Hilbert and Banach spaces," Statistics & Probability Letters, Elsevier, vol. 117(C), pages 12-22.
- Marc Mukendi Mpanda & Safari Mukeru & Mmboniseni Mulaudzi, 2020. "Generalisation of Fractional-Cox-Ingersoll-Ross Process," Papers 2008.07798, arXiv.org, revised Jul 2022.
- Ranieri Dugo & Giacomo Giorgio & Paolo Pigato, 2024. "The Multivariate Fractional Ornstein-Uhlenbeck Process," CEIS Research Paper 581, Tor Vergata University, CEIS, revised 28 Aug 2024.
- Pavel Kříž & Leszek Szała, 2020. "Least-Squares Estimators of Drift Parameter for Discretely Observed Fractional Ornstein–Uhlenbeck Processes," Mathematics, MDPI, vol. 8(5), pages 1-20, May.
- Zhang, Pu & Xiao, Wei-lin & Zhang, Xi-li & Niu, Pan-qiang, 2014. "Parameter identification for fractional Ornstein–Uhlenbeck processes based on discrete observation," Economic Modelling, Elsevier, vol. 36(C), pages 198-203.
- 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.
More about this item
Keywords
Fractional Brownian motion; Stochastic differential equations; Girsanov-type formula; Random effects; Maximum likelihood estimation;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:apmaco:v:397:y:2021:i:c:s0096300320308808. See general information about how to correct material in RePEc.
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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: https://www.journals.elsevier.com/applied-mathematics-and-computation .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.