Asymptotic Properties of Estimators in Stochastic Differential Equations with Additive Random Effects
Alkreemawi Walaa Khazal, Alsukaini Mohammed Sari, Wang Xiang Jun
Journal of Advances in Mathematics and Computer Science · pp. 1–9 · Published 18 May 2016
10.9734/BJMCS/2016/26140Abstract
A stochastic differential equation (SDE) defined N independent stochastic processes (Xi (t), t ∈ [0,Ti]),i = 1, ..., N, the drift term depends on the random variable ɸi . The distribution of the random effect ɸi depends on unknown parameters. When the drift term is defined linearly on the random effect ɸi (additive random effect) and ɸi has Gaussian Distribution, we propose an alternative route to prove asymptotic properties of Maximum Likelihood Estimator (MLE) by verifying the regularity conditions required through existing relevant theorems. We consider the Bayesian approach to learn the hyper parameters and proving asymptotic properties of the posterior distribution of the hyper parameters in the SDE’s model.
Cited by 0
No indexed citations yet.
Related research
- Area 1 of Approximate Entropy as a Fast and Robust Tool to Address Temporal Organization — shares topic coverage
- Index and Strength Characteristics of Residual Lateritic Soils from South-Western Nigeria — shares topic coverage
- One Step Trigonometrically-fitted Third Derivative Method with Oscillatory Solutions — shares topic coverage
- Morpho-physical Properties of Soils of Kanamadi South Sub-watershed of Karnataka — shares topic coverage
- One-step Hybrid Block Method for Directly Solving Fifth-order Initial Value Problems of Ordinary Differential Equations — shares topic coverage
Article metrics
Real usage data collected on this platform.
13
Page views
0
PDF downloads
0
Outbound clicks
0
Citations
Views over time
Views by country
Approximate, from request IP at view time — not citizenship or institution. Countries with fewer than 5 views are grouped as "Other".
Traffic sources
Referring site, by host.
Views and downloads exclude known bots/crawlers. Citations combines this platform's own DOI-resolved index with each external source's own reported total — see Cited by above for individually listed citing works. Last refreshed 0 seconds ago.