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Empirical dynamics for longitudinal data
2010
Annals of Statistics
We demonstrate that the processes underlying on-line auction price bids and many other longitudinal data can be represented by an empirical first order stochastic ordinary differential equation with time-varying coefficients and a smooth drift process. This equation may be empirically obtained from longitudinal observations for a sample of subjects and does not presuppose specific knowledge of the underlying processes. For the nonparametric estimation of the components of the differential
doi:10.1214/09-aos786
fatcat:3w3guznv3ffqdkjtk24llwn64q