Inference and first‐passage‐times for the lognormal diffusion process with exogenous factors: application to modelling in economics

R. Gutiérrez, P. Román and F. Torres

Applied Stochastic Models in Business and Industry, 1999, vol. 15, issue 4, 325-332

Abstract: In this paper we present a methodology to build a lognormal diffusion process with exogenous factors that models economic variables. This model allows us to study the problems of forecasting as first‐passage‐times. We show an example with the GNP of Spain. Copyright © 1999 John Wiley & Sons, Ltd.

Date: 1999
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https://doi.org/10.1002/(SICI)1526-4025(199910/12)15:43.0.CO;2-F

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:15:y:1999:i:4:p:325-332

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