Maximum likelihood estimation of stochastic differential equations with random effects driven by fractional Brownian motion

Applied Mathematics and Computation ◽

10.1016/j.amc.2020.125927 ◽

2021 ◽

Vol 397 ◽

pp. 125927

Author(s):

Min Dai ◽

Jinqiao Duan ◽

Junjun Liao ◽

Xiangjun Wang

Keyword(s):

Brownian Motion ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Fractional Brownian Motion ◽

Random Effects ◽

Likelihood Estimation

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Maximum likelihood estimation for stochastic differential equations driven by a mixed fractional Brownian motion with random effects

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2021.1980048 ◽

2021 ◽

pp. 1-9

Author(s):

B. L. S. Prakasa Rao

Keyword(s):

Brownian Motion ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Fractional Brownian Motion ◽

Random Effects ◽

Likelihood Estimation ◽

Mixed Fractional Brownian Motion

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Maximum likelihood estimation for stochastic differential equations with two random effects in the diffusion coefficient

Applied Mathematical Sciences ◽

10.12988/ams.2015.59575 ◽

2015 ◽

Keyword(s):

Diffusion Coefficient ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Random Effects ◽

Likelihood Estimation

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Maximum Likelihood Estimation for Stochastic Differential Equations with Random Effects

Scandinavian Journal of Statistics ◽

10.1111/j.1467-9469.2012.00813.x ◽

2012 ◽

Vol 40 (2) ◽

pp. 322-343 ◽

Author(s):

MAUD DELATTRE ◽

VALENTINE GENON-CATALOT ◽

ADELINE SAMSON

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Random Effects ◽

Likelihood Estimation

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Approximate maximum likelihood estimation for stochastic differential equations with random effects in the drift and the diffusion

Metrika ◽

10.1007/s00184-018-0666-z ◽

2018 ◽

Vol 81 (8) ◽

pp. 953-983

Author(s):

Maud Delattre ◽

Valentine Genon-Catalot ◽

Catherine Larédo

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Random Effects ◽

Likelihood Estimation ◽

Approximate Maximum Likelihood

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Parametric inference for stochastic differential equations driven by a mixed fractional Brownian motion with random effects based on discrete observations

Stochastic Analysis and Applications ◽

10.1080/07362994.2021.1902352 ◽

2021 ◽

pp. 1-12

Author(s):

B.L.S. Prakasa Rao

Keyword(s):

Brownian Motion ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Fractional Brownian Motion ◽

Random Effects ◽

Parametric Inference ◽

Discrete Observations ◽

Mixed Fractional Brownian Motion

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Maximum Likelihood Estimation, Interpolation and Prediction for Fractional Brownian Motion

Lecture Notes in Computer Science - Image and Signal Processing ◽

10.1007/978-3-642-31254-0_37 ◽

2012 ◽

pp. 326-332 ◽

Author(s):

Rachid Harba ◽

Hassan Douzi ◽

Mohamed El Hajji

Keyword(s):

Brownian Motion ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Fractional Brownian Motion ◽

Likelihood Estimation

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Maximum likelihood estimation in Skorohod stochastic differential equations

Proceedings of the American Mathematical Society ◽

10.1090/s0002-9939-09-10113-2 ◽

2010 ◽

Vol 138 (04) ◽

pp. 1471-1471 ◽

Author(s):

Jaya P. N. Bishwal

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Likelihood Estimation

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Maximum likelihood estimation of fractional Brownian motion and Markov noise parameters

Journal of Guidance Control and Dynamics ◽

10.2514/3.21398 ◽

1995 ◽

Vol 18 (2) ◽

pp. 379-382 ◽

Author(s):

Michael E. Ash ◽

Matthew E. Skeen

Keyword(s):

Brownian Motion ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Fractional Brownian Motion ◽

Likelihood Estimation ◽

Noise Parameters

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Maximum Likelihood Estimation in Partially Observed Stochastic Differential System Driven by a Fractional Brownian Motion

Stochastic Analysis and Applications ◽

10.1081/sap-120024701 ◽

2003 ◽

Vol 21 (5) ◽

pp. 995-1007 ◽

Author(s):

J. P. N. Bishwal

Keyword(s):

Brownian Motion ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Fractional Brownian Motion ◽

Differential System ◽

Likelihood Estimation ◽

Partially Observed

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Efficient importance sampling maximum likelihood estimation of stochastic differential equations

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2010.02.001 ◽

2010 ◽

Vol 54 (11) ◽

pp. 2753-2762 ◽

Author(s):

S. Pastorello ◽

E. Rossi

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Importance Sampling ◽

Likelihood Estimation

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