Parameter estimation in systems of differential equations, based on three‐way data arrays and random time changes

Bruno Bassan and Silvia Terzi

Applied Stochastic Models and Data Analysis, 1996, vol. 12, issue 2, 63-73

Abstract: Consider a system of n1 × n2 differential equations depending on a vector θ of unknown parameters. We suggest an iterative estimation procedure for θ, based on a three‐way array of observations. The method involves random time changes driven by multidimensional integrated Ornstein‐Uhlenbeck processes.

Date: 1996
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https://doi.org/10.1002/(SICI)1099-0747(199606)12:23.0.CO;2-F

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmda:v:12:y:1996:i:2:p:63-73

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