Multivariate inhomogeneous diffusion models with covariates and mixed effects

Abstract: Modeling of longitudinal data often requires diffusion models that incorporate overall time-dependent, nonlinear dynamics of multiple components and provide sufficient flexibility for subject-specific modeling. This complexity challenges parameter inference and approximations are inevitable. We propose a method for approximate maximum-likelihood parameter estimation in multivariate time-inhomogeneous diffusions, where subject-specific flexibility is accounted for by incorporation of multidimensional mixed effects and covariates. We consider $N$ multidimensional independent diffusions $X^i = (X^i_t)_{0\leq t\leq T^i}, 1\leq i\leq N$, with common overall model structure and unknown fixed-effects parameter $\mu$. Their dynamics differ by the subject-specific random effect $\phi^i$ in the drift and possibly by (known) covariate information, different initial conditions and observation times and duration. The distribution of $\phi^i$ is parametrized by an unknown $\vartheta$ and $\theta = (\mu, \vartheta)$ is the target of statistical inference. Its maximum likelihood estimator is derived from the continuous-time likelihood. We prove consistency and asymptotic normality of $\hat{\theta}_N$ when the number $N$ of subjects goes to infinity using standard techniques and consider the more general concept of local asymptotic normality for less regular models. The bias induced by time-discretization of sufficient statistics is investigated. We discuss verification of conditions and investigate parameter estimation and hypothesis testing in simulations.