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    Parameter inference and model selection for differential equation models

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    http://hdl.handle.net/10217/167153
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    Abstract
    Firstly, we consider the problem of estimating parameters of stochastic differential equations with discrete-time observations that are either completely or partially observed. The transition density between two observations is generally unknown. We propose an importance sampling approach with an auxiliary parameter when the transition density is unknown. We embed the auxiliary importance sampler in a penalized maximum likelihood framework which produces more accurate and computationally efficient parameter estimates. Simulation studies in three different models illustrate promising improvements ...
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    Author(s)
    Sun, Libo

    Advisor(s)
    Hoeting, Jennifer A.; Lee, Chihoon

    Date Issued
    2015
    Format
    born digital; doctoral dissertations
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    • 2000-2019 - CSU Theses and Dissertations
    • Theses and Dissertations - Department of Statistics

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