Estimation of nonlinear mixed-effects continuous-time models using the continuous-discrete extended Kalman filter

Lu Ou, Michael D. Hunter, Zhaohua Lu, Cynthia Stifter, Sy Miin Chow

Research output: Contribution to journalArticlepeer-review

1 Scopus citations


Many intensive longitudinal measurements are collected at irregularly spaced time intervals, and involve complex, possibly nonlinear and heterogeneous patterns of change. Effective modelling of such change processes requires continuous-time differential equation models that may be nonlinear and include mixed effects in the parameters. One approach of fitting such models is to define random effect variables as additional latent variables in a stochastic differential equation (SDE) model of choice, and use estimation algorithms designed for fitting SDE models, such as the continuous-discrete extended Kalman filter (CDEKF) approach implemented in the dynr R package, to estimate the random effect variables as latent variables. However, this approach's efficacy and identification constraints in handling mixed-effects SDE models have not been investigated. In the current study, we analytically inspect the identification constraints of using the CDEKF approach to fit nonlinear mixed-effects SDE models; extend a published model of emotions to a nonlinear mixed-effects SDE model as an example, and fit it to a set of irregularly spaced ecological momentary assessment data; and evaluate the feasibility of the proposed approach to fit the model through a Monte Carlo simulation study. Results show that the proposed approach produces reasonable parameter and standard error estimates when some identification constraint is met. We address the effects of sample size, process noise variance, and data spacing conditions on estimation results.

Original languageEnglish (US)
Pages (from-to)462-490
Number of pages29
JournalBritish Journal of Mathematical and Statistical Psychology
Issue number3
StatePublished - Nov 2023

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Arts and Humanities (miscellaneous)
  • General Psychology

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