Estimation of the joint distribution of random effects for a discretely observed diffusion with random effects - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail (Working Paper) Année : 2016

Estimation of the joint distribution of random effects for a discretely observed diffusion with random effects

Résumé

Mixed effects models are popular tools for analyzing longitudinal data from several individuals simultaneously. Individuals are described by N independent stochastic processes (Xi(t), t ∈ [0, T ]), i = 1,. .. , N , defined by a stochastic differential equation with random effects. We assume that the drift term depends linearly on a random vector Φi and the diffusion coefficient depends on another linear random effect Ψi. For the random effects, we consider a joint parametric distribution leading to explicit approximate likelihood functions for discrete observations of the processes Xi on a fixed time interval. The asymptotic behaviour of the associated estimators is studied when both the number of individuals and the number of observations per individual tend to infinity. The estimation methods are investigated on simulated and real neuronal data.
Fichier principal
Vignette du fichier
EDSM_driftanddiff_25_01_17_MD.pdf (595.15 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-01446063 , version 1 (25-01-2017)

Identifiants

  • HAL Id : hal-01446063 , version 1
  • PRODINRA : 393854

Citer

Maud Delattre, Valentine Genon-Catalot, Catherine Larédo. Estimation of the joint distribution of random effects for a discretely observed diffusion with random effects. 2016. ⟨hal-01446063⟩
332 Consultations
380 Téléchargements

Partager

Gmail Facebook X LinkedIn More