Inference in lognormal multidimensional diffusion processes with exogenous factors: Application to modelling in economics

R. Gutiérrez, J. M. Angulo, A. González and R. Pérez

Applied Stochastic Models and Data Analysis, 1991, vol. 7, issue 4, 295-316

Abstract: The multidimensional lognormal diffusion process with exogenous factors is treated using the Kolmogorov equations, and the mean vector and covariance matrix are estimated using discrete sampling by the maximum‐likelihood method. Also, this process is constructed as a solution of a multidimensional stochastic differential equation, and an estimation is made through the maximum‐likelihood method to infer the parameters of the exogenous factors, this time using continuous sampling. Finally, a test for a hypothesis based on these parameters is constructed.

Date: 1991
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmda:v:7:y:1991:i:4:p:295-316

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