Bidimensional Random Effect Estimation in Mixed Stochastic Differential Model - SAM
Pré-Publication, Document De Travail Année : 2015

Bidimensional Random Effect Estimation in Mixed Stochastic Differential Model

Résumé

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 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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Dates et versions

hal-01103303 , version 1 (14-01-2015)
hal-01103303 , version 2 (22-05-2015)

Identifiants

  • HAL Id : hal-01103303 , version 1

Citer

Charlotte Dion, Valentine Genon-Catalot. Bidimensional Random Effect Estimation in Mixed Stochastic Differential Model. 2015. ⟨hal-01103303v1⟩

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