Practical estimation of high dimensional stochastic differential mixed-effects models

Computational Statistics and Data Analysis

Volumn 55, Issue 3, 2011, Pages 1426-1444

  Picchini, Umberto ^a,b   Ditlevsen, Susanne ^b  

^a DURHAM UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Automatic differentiation; Closed form transition density expansion; CoxIngersollRoss process; Maximum likelihood estimation; Population estimation; Stochastic differential equation

Indexed keywords

AUTOMATIC DIFFERENTIATIONS; CLOSED FORM TRANSITION DENSITY EXPANSION; COXINGERSOLLROSS PROCESS; POPULATION ESTIMATION; STOCHASTIC DIFFERENTIAL EQUATIONS;

COMPUTER SIMULATION; DIFFERENTIAL EQUATIONS; DYNAMICS; EXPERIMENTS; MAXIMUM LIKELIHOOD ESTIMATION; MEASUREMENT THEORY; MODELS; STOCHASTIC MODELS; STOCHASTIC SYSTEMS;

PARAMETER ESTIMATION;

EID: 78649325422     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2010.10.003     Document Type: Article

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