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Mathematics 2018, 6(5), 85; https://doi.org/10.3390/math6050085

Some Notes about Inference for the Lognormal Diffusion Process with Exogenous Factors

Departamento de Estadística e Investigación Operativa, Facultad de Ciencias, Universidad de Granada, Avenida Fuente Nueva, 18071 Granada, Spain
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These authors contributed equally to this work.
Received: 16 April 2018 / Revised: 14 May 2018 / Accepted: 15 May 2018 / Published: 21 May 2018
(This article belongs to the Special Issue Stochastic Processes with Applications)
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Abstract

Different versions of the lognormal diffusion process with exogenous factors have been used in recent years to model and study the behavior of phenomena following a given growth curve. In each case considered, the estimation of the model has been addressed, generally by maximum likelihood (ML), as has been the study of several characteristics associated with the type of curve considered. For this process, a unified version of the ML estimation problem is presented, including how to obtain estimation errors and asymptotic confidence intervals for parametric functions when no explicit expression is available for the estimators of the parameters of the model. The Gompertz-type diffusion process is used here to illustrate the application of the methodology. View Full-Text
Keywords: lognormal diffusion process; exogenous factors; growth curves; maximum likelihood estimation; asymptotic distribution lognormal diffusion process; exogenous factors; growth curves; maximum likelihood estimation; asymptotic distribution
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Román-Román, P.; Serrano-Pérez, J.J.; Torres-Ruiz, F. Some Notes about Inference for the Lognormal Diffusion Process with Exogenous Factors. Mathematics 2018, 6, 85.

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