PREDICTION-BASED ESTIMATING FUNCTIONS FOR INTEGRATED DIFFUSIONS,
STOCHASTIC DELAY DIFFERENTIAL EQUATIONS AND DIFFUSION COMPARTMENT MODELS


Michael SØRENSEN
University of Copenhagen
Copenhagen, Danemark


ABSTRACT

The prediction-based estimating functions generalize the martingale estimating functions. They are useful for statistical inference concerning non-Markovian stochastic process models, where there are typically no easily calculated martingales that can be used to construct a class of martingale estimating functions. Applications to statistical inference for integrated diffusions, stochastic delay differential equations and diffusion compartment models will be presented.



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