Open AccessEstimation of parameters in stochastic differential equations with two random effects
Author(s) -
Mohammed Sari Alsukaini,
Walaa Alkreemawi,
Xiangjun Wang
Publication year - 2016
Publication title -
international journal of applied mathematical research
Language(s) - English
Resource type - Journals
ISSN - 2227-4324
DOI - 10.14419/ijamr.v5i2.5996
Subject(s) - mathematics , estimation , stochastic differential equation , random effects model , statistics , medicine , meta analysis , management , economics
In this paper we investigate consistency and asymptotic normality of the posterior distribution of the parameters in the stochastic differential equations (SDE’s) with diffusion coefficients depending nonlinearly on a random variables and (the random effects).The distributions of the random effects and depends on unknown parameters which are to be estimated from the continuous observations of the independent processes . We propose the Gaussian distribution for the random effect and the exponential distribution for the random effect , we obtained an explicit formula for the likelihood function and find the estimators of the unknown parameters in the random effects.