A penalized simulated maximum likelihood method to estimate parameters for SDEs with measurement error

Libo Sun, Chihoon Lee, Jennifer A. Hoeting

Research output: Contribution to journalArticlepeer-review

Abstract

The penalized simulated maximum likelihood (PSML) approach can be used to estimate parameters for a stochastic differential equation model based on completely or partially observed discrete-time observations. The PSML uses an auxiliary variable importance sampler and parameters are estimated in a penalized maximum likelihood framework. In this paper, we extend the PSML to allow for measurement error, including unknown initial conditions. Simulation studies for two stochastic models and a real world example aimed at understanding the dynamics of chronic wasting disease illustrate that our method has favorable performance in the presence of measurement error. PSML reduces both the bias and root mean squared error as compared to existing methods. Lastly, we establish consistency and asymptotic normality for the proposed estimators.

Original languageEnglish
Pages (from-to)847-863
Number of pages17
JournalComputational Statistics
Volume34
Issue number2
DOIs
StatePublished - 1 Jun 2019

Keywords

  • Consistency and asymptotic normality
  • Measurement error
  • Penalized simulated maximum likelihood estimation
  • Stochastic differential equations

Fingerprint

Dive into the research topics of 'A penalized simulated maximum likelihood method to estimate parameters for SDEs with measurement error'. Together they form a unique fingerprint.

Cite this