Estimation in Reducible Stochastic Differential Equations
Box-Cox transformation
Examples of optional external transformation and derivative functions
resde - Parameter estimation in reducible SDE models.
Fit SDE model
Model specification
Display the model specification
String to function, with parameters in theta
Unified transformation
ML estimation vector for reducible SDEs
Maximum likelihood estimation for univariate reducible stochastic differential equation models. Discrete, possibly noisy observations, not necessarily evenly spaced in time. Can fit multiple individuals/units with global and local parameters, by fixed-effects or mixed-effects methods. Ref.: Garcia, O. (2019) "Estimating reducible stochastic differential equations by conversion to a least-squares problem", Computational Statistics 34(1): 23-46, <doi:10.1007/s00180-018-0837-4>.