Bidimensional random effect estimation in mixed stochastic differential model |
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Authors: | C Dion V Genon-Catalot |
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Institution: | 1.LJK, UMR CNRS 5224,Université Joseph Fourier,Grenoble,France;2.MAP5, UMR CNRS 8145,Université Paris Descartes, Sorbonne Paris Cité,Paris,France |
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Abstract: | In this work, a mixed stochastic differential model is studied with two random effects in the drift. We assume that N trajectories are continuously observed throughout a large time interval 0, T]. Two directions are investigated. First we estimate the random effects from one trajectory and give a bound of the \(L^2\)-risk of the estimators. Secondly, we build a nonparametric estimator of the common bivariate density of the random effects. The mean integrated squared error is studied. The performances of the density estimator are illustrated on simulations. |
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