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

Patricia Román-Román, Juan José Serrano-Pérez and Francisco Torres-Ruiz
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Patricia Román-Román: Departamento de Estadística e Investigación Operativa, Facultad de Ciencias, Universidad de Granada, Avenida Fuente Nueva, 18071 Granada, Spain
Juan José Serrano-Pérez: Departamento de Estadística e Investigación Operativa, Facultad de Ciencias, Universidad de Granada, Avenida Fuente Nueva, 18071 Granada, Spain
Francisco Torres-Ruiz: Departamento de Estadística e Investigación Operativa, Facultad de Ciencias, Universidad de Granada, Avenida Fuente Nueva, 18071 Granada, Spain

Mathematics, 2018, vol. 6, issue 5, 1-13

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.

Keywords: lognormal diffusion process; exogenous factors; growth curves; maximum likelihood estimation; asymptotic distribution (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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