کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7547428 | 1489750 | 2016 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Mixtures of stochastic differential equations with random effects: Application to data clustering
ترجمه فارسی عنوان
مخلوط معادلات دیفرانسیل تصادفی با اثرات تصادفی: کاربرد در خوشه بندی داده ها
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
چکیده انگلیسی
We consider N independent stochastic processes (Xi(t),tâ[0,Ti]), i=1,â¦,N, defined by a stochastic differential equation with drift term depending on a random variable Ïi. The distribution of the random effect Ïi is a Gaussian mixture distribution, depending on unknown parameters which are to be estimated from the continuous observation of the processes Xi. The likelihood of the observation is explicit. When the number of components is known, we prove the consistency of the exact maximum likelihood estimators and use the EM algorithm to compute it. When the number of components is unknown, BIC (Bayesian Information Criterion) is applied to select it. To assign each individual to a class, we define a classification rule based on estimated posterior probabilities. A simulation study illustrates our estimation and classification method on various models. A real data analysis is performed on growth curves with convincing results.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 173, June 2016, Pages 109-124
Journal: Journal of Statistical Planning and Inference - Volume 173, June 2016, Pages 109-124
نویسندگان
Maud Delattre, Valentine Genon-Catalot, Adeline Samson,