On Bayesian asymptotics in stochastic differential equations with random effects

Trisha Maitra and Sourabh Bhattacharya

Statistics & Probability Letters, 2015, vol. 103, issue C, 148-159

Abstract: Delattre et al. (2013) investigated asymptotic properties of the maximum likelihood estimator of the population parameters of the random effects associated with n independent stochastic differential equations (SDE’s) assuming that the SDE’s are independent and identical (iid).

Keywords: Asymptotic normality; Maximum likelihood estimator; Posterior consistency; Posterior normality; Random effects; Stochastic differential equations (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715215001194
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:103:y:2015:i:c:p:148-159

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2015.04.009

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().