Asymptotic Properties and Application of GSB Process: A Case Study of the COVID-19 Dynamics in Serbia

Mihailo Jovanović, Vladica Stojanović (), Kristijan Kuk, Brankica Popović and Petar Čisar
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Mihailo Jovanović: The Office for Information Technologies and eGovernment, 11000 Belgrade, Serbia
Vladica Stojanović: Department of Informatics & Computer Sciences, University of Criminal Investigation and Police Studies, 11000 Belgrade, Serbia
Kristijan Kuk: Department of Informatics & Computer Sciences, University of Criminal Investigation and Police Studies, 11000 Belgrade, Serbia
Brankica Popović: Department of Informatics & Computer Sciences, University of Criminal Investigation and Police Studies, 11000 Belgrade, Serbia
Petar Čisar: Department of Informatics & Computer Sciences, University of Criminal Investigation and Police Studies, 11000 Belgrade, Serbia

Mathematics, 2022, vol. 10, issue 20, 1-28

Abstract: This paper describes one of the non-linear (and non-stationary) stochastic models, the GSB (Gaussian, or Generalized, Split-BREAK) process, which is used in the analysis of time series with pronounced and accentuated fluctuations. In the beginning, the stochastic structure of the GSB process and its important distributional and asymptotic properties are given. To that end, a method based on characteristic functions (CFs) was used. Various procedures for the estimation of model parameters, asymptotic properties, and numerical simulations of the obtained estimators are also investigated. Finally, as an illustration of the practical application of the GSB process, an analysis is presented of the dynamics and stochastic distribution of the infected and immunized population in relation to the disease COVID-19 in the territory of the Republic of Serbia.

Keywords: stochastic processes; emphatic fluctuations; non-stationarity; asymptotic normality; Gaussian distribution; estimation; COVID-19 (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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