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      On Asymptotics Related to Classical Inference in Stochastic Differential Equations with Random Effects

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          Abstract

          Delattre et al. (2012) considered n independent stochastic differential equations (SDEs), where in each case the drift term is associated with a random effect, the distribution of which depends upon unknown parameters. Assuming the independent and identical (iid) situation the authors provide independent proofs of consistency and asymptotic normality of the maximum likelihood estimators (MLEs) of the hyper-parameters of their random effects parameters. In this article, as an alternative route to proving consistency and asymptotic normality in the SDE set-up involving random effects, we verify the regularity conditions required by existing relevant theorems. But much more importantly, we further consider the independent, but non-identical set-up associated with the random effects based SDE framework, and prove asymptotic results associated with the MLEs.

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          Journal
          1407.3968

          Statistics theory
          Statistics theory

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