Estimation in Multivariate Log-Normal Diffusion Processes with Exogenous Factors

DOI10.1111/1467-9876.00054zbMath1109.62332OpenAlexW2075971814MaRDI QIDQ4390932

A. González-Carmona, Ramón Gutiérrez-Jáimez, Ruiz F. Torres

Publication date: 10 August 1998

Published in: Journal of the Royal Statistical Society Series C: Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9876.00054

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

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Inference on some parametric functions in the univariate lognormal diffusion process with exogenous factors ⋮ The stochastic Rayleigh diffusion model: Statistical inference and computational aspects. applications to modelling of real cases ⋮ Trend analysis using nonhomogeneous stochastic diffusion processes. Emission of CO\({}_{2}\); Kyoto protocol in Spain ⋮ A new Gompertz-type diffusion process with application to random growth ⋮ Inference and first-passage-times for the lognormal diffusion process with exogenous factors: application to modelling in economics ⋮ Estimation and prediction of a 2D lognormal diffusion random field

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