On classical and Bayesian asymptotics in stochastic differential equations with random effects having mixture normal distributions
Journal of Statistical Planning and Inference
Delattre et al. (2013) considered a system of stochastic differential equations (SDEs) in a random effects setup. Under the independent and identical (iid) situation, and assuming normal distribution of the random effects, they established weak consistency of the maximum likelihood estimators (MLEs) of the population parameters of the random effects. In this article, respecting the increasing importance and versatility of normal mixtures and their ability to approximate any standard distribution, we consider the random effects having mixture of normal distributions and prove asymptotic results associated with the MLEs in both independent and identical (iid) and independent but not identical (non-iid) situations. Besides, we consider iid and non-iid setups under the Bayesian paradigm and establish posterior consistency and asymptotic normality of the posterior distribution of the population parameters, even when the number of mixture components is unknown and treated as a random variable. Although ours is an independent work, we later noted that Delattre et al. (2013) also assumed the SDE setup with normal mixture distribution of the random effect parameters but considered only the iid case and proved only weak consistency of the MLE under an extra, strong assumption as opposed to strong consistency that we are able to prove without the extra assumption. Furthermore, they did not deal with asymptotic normality of MLE or the Bayesian asymptotics counterpart which we investigate in details. Ample simulation experiments and application to a real, stock market data set reveal the importance and usefulness of our methods even for small samples.
Maitra, Trisha and Bhattacharya, Sourabh, "On classical and Bayesian asymptotics in stochastic differential equations with random effects having mixture normal distributions" (2020). Journal Articles. 162.