Maximum likelihood Estimation for Stochastic Differential Equations with two Random Effects in the Diffusion Coefficient
Journal Title: JOURNAL OF ADVANCES IN MATHEMATICS - Year 2016, Vol 11, Issue 10
Abstract
We study n independent stochastic processes(xi (t),tiЄ[o,t1 ],i=1,......n) defined by a stochastic differential equation with diffusion coefficients depending nonlinearly on a random variables and (the random effects).The distributions of the random effects фi,and,μi and depends on unknown parameters which are to be estimated from the continuous observations of the processes xi (t) . When the distributions of the random effects ф ,μ, are Gaussian and exponential respectively, we obtained an explicit formula for the likelihood function and the asymptotic properties (consistency and asymptotic normality) of the maximum likelihood estimator (MLE) are derived when tend to infinity.
Authors and Affiliations
Mohammed Sari Alsukaini, Alkreemawi khazaal Walaa, Wang Xiang jun
Keywords
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- EP ID EP651625
- DOI 10.24297/jam.v11i10.784
- Views 191
- Downloads 0
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