MsdeParEst

R package MsdeParEst: Parametric Estimation in Mixed-Effects Stochastic Differential Equations. Parametric estimation in stochastic differential equations with random effects in the drift, or in the diffusion or both. Approximate maximum likelihood methods are used. M. Delattre, V. Genon-Catalot and A. Samson (2012) <doi:10.1111/j.1467-9469.2012.00813.x> M. Delattre, V. Genon-Catalot and A. Samson (2015) <doi:10.1051/ps/2015006> M. Delattre, V. Genon-Catalot and A. Samson (2016) <doi:10.1016/j.jspi.2015.12.003>.


References in zbMATH (referenced in 17 articles )

Showing results 1 to 17 of 17.
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  1. Comte, Fabienne; Genon-Catalot, Valentine: Nonparametric drift estimation for i.i.d. paths of stochastic differential equations (2020)
  2. Maitra, Trisha; Bhattacharya, Sourabh: On classical and Bayesian asymptotics in state space stochastic differential equations (2020)
  3. Maitra, Trisha; Bhattacharya, Sourabh: On classical and Bayesian asymptotics in stochastic differential equations with random effects having mixture normal distributions (2020)
  4. El Omari, Mohamed; El Maroufy, Hamid; Fuchs, Christiane: Non parametric estimation for fractional diffusion processes with random effects (2019)
  5. Lu, Boliang; Song, Ruili: Stability of a class of hybrid neutral stochastic differential equations with unbounded delay (2017)
  6. Delattre, Maud; Genon-Catalot, Valentine; Samson, Adeline: Mixtures of stochastic differential equations with random effects: application to data clustering (2016)
  7. Dion, C.; Genon-Catalot, V.: Bidimensional random effect estimation in mixed stochastic differential model (2016)
  8. Dion, Charlotte: Nonparametric estimation in a mixed-effect Ornstein-Uhlenbeck model (2016)
  9. Genon-Catalot, V.; Larédo, C.: Estimation for stochastic differential equations with mixed effects (2016)
  10. Maitra, Trisha; Bhattacharya, Sourabh: On asymptotics related to classical inference in stochastic differential equations with random effects (2016)
  11. Azencott, Robert; Ren, Peng; Timofeyev, Ilya: Parametric estimation from approximate data: non-Gaussian diffusions (2015)
  12. Commenges, Daniel; Gégout-Petit, Anne: The stochastic system approach for estimating dynamic treatments effect (2015)
  13. Delattre, Maud; Genon-Catalot, Valentine; Samson, Adeline: Estimation of population parameters in stochastic differential equations with random effects in the diffusion coefficient (2015)
  14. Maitra, Trisha; Bhattacharya, Sourabh: On Bayesian asymptotics in stochastic differential equations with random effects (2015)
  15. Comte, F.; Genon-Catalot, V.; Samson, A.: Nonparametric estimation for stochastic differential equations with random effects (2013)
  16. Delattre, Maud; Genon-Catalot, Valentine; Samson, Adeline: Maximum likelihood estimation for stochastic differential equations with random effects (2013)
  17. Delattre, Maud; Lavielle, Marc: Coupling the SAEM algorithm and the extended Kalman filter for maximum likelihood estimation in mixed-effects diffusion models (2013)