Inference in lognormal multidimensional diffusion processes with exogenous factors: Application to modelling in economics

DOI10.1002/asm.3150070402zbMath0800.62504OpenAlexW2101513208MaRDI QIDQ4299586

No author found.

Publication date: 8 September 1994

Published in: Applied Stochastic Models and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asm.3150070402

zbMATH Keywords

discrete and continuous sampling of diffusion processesmaximum likelihood in diffusion processesmultidimensional lognormal diffusion

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Software, source code, etc. for problems pertaining to statistics (62-04) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02)

Related Items (5)

Inference on some parametric functions in the univariate lognormal diffusion process with exogenous factors ⋮ Trend analysis using nonhomogeneous stochastic diffusion processes. Emission of CO\({}_{2}\); Kyoto protocol in Spain ⋮ Inference and first-passage-times for the lognormal diffusion process with exogenous factors: application to modelling in economics ⋮ INFERENCE IN GOMPERTZ-TYPE NONHOMOGENEOUS STOCHASTIC SYSTEMS BY MEANS OF DISCRETE SAMPLING ⋮ Estimation and prediction of a 2D lognormal diffusion random field

Cites Work

• Sobre la estimacion del coeficiente de tendencia en procesos de difusion con paradas aleatorias
• Sortie aspects of stochastic economics
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Inference in lognormal multidimensional diffusion processes with exogenous factors: Application to modelling in economics