Modelling the CPI using a lognormal diffusion process and implications on forecasting inflation

DOI10.1093/IMAMAN/15.1.39zbMath1061.62124OpenAlexW1988118647MaRDI QIDQ4665360

Wafaa M. Sbeiti, Ahmad S. A. al-Refai, Basel Al-Eideh

Publication date: 11 April 2005

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/15.1.39

zbMATH Keywords

stochastic differential equation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)

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A stochastic Schumacher diffusion process: probability characteristics computation and statistical analysis

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