Estimation in Reducible Stochastic Differential Equations
Description
Maximum likelihood estimation for univariate reducible
stochastic differential equation models. Discrete, possibly noisy
observations, not necessarily evenly spaced in time. Can fit
multiple individuals/units with global and local parameters, by
fixed-effects or mixed-effects methods. Ref.: Garcia, O. (2019)
"Estimating reducible stochastic differential equations by
conversion to a least-squares problem", Computational Statistics
34(1): 23-46, .