Approximating the first passage time density from data using generalized Laguerre polynomials

DOI10.1016/J.CNSNS.2022.106991MaRDI QIDQ2684064zbMATH OpenOpenAlexFDO

Authors Giuseppe D'Onofrio, T. Martini, E. Di Nardo

Publication date 16 February 2023

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2206.02137

zbMATH Keywords

recursive algorithmcumulantgeometric Brownian motionstochastic process\(\kappa\)-statistic

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Approximations to statistical distributions (nonasymptotic) (62E17) General theory of stochastic processes (60G07)

Abstract: This paper analyzes a method to approximate the first passage time probability density function which turns to be particularly useful if only sample data are available. The method relies on a Laguerre-Gamma polynomial approximation and iteratively looks for the best degree of the polynomial such that the fitting function is a probability density function. The proposed iterative algorithm relies on simple and new recursion formulae involving first passage time moments. These moments can be computed recursively from cumulants, if they are known. In such a case, the approximated density can be used also for the maximum likelihood estimates of the parameters of the underlying stochastic process. If cumulants are not known, suitable unbiased estimators relying on k-statistics are employed. To check the feasibility of the method both in fitting the density and in estimating the parameters, the first passage time problem of a geometric Brownian motion is considered.

Recommendations

• A cumulant approach for the first-passage-time problem of the Feller square-root process
• On evaluations and asymptotic approximations of first-passage-time probabilities
• On the numerical evaluation of first-passage-time probability densities for one dimensional diffusion processes
• On the first-passage time problem: cumulant approach
• An approximation for the inverse first passage time problem

Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 45789 (Why is no real title available?)
• scientific article; zbMATH DE number 108071 (Why is no real title available?)
• scientific article; zbMATH DE number 3549968 (Why is no real title available?)
• scientific article; zbMATH DE number 1222646 (Why is no real title available?)
• scientific article; zbMATH DE number 486467 (Why is no real title available?)
• scientific article; zbMATH DE number 1774199 (Why is no real title available?)
• scientific article; zbMATH DE number 1369679 (Why is no real title available?)
• scientific article; zbMATH DE number 3349816 (Why is no real title available?)
• scientific article; zbMATH DE number 3186324 (Why is no real title available?)
• A computational approach to first-passage-time problems for Gauss-Markov processes
• A cumulant approach for the first-passage-time problem of the Feller square-root process
• A guide to first-passage processes
• A new integral equation for the evaluation of first-passage-time probability densities
• A note on the Volterra integral equation for the first-passage-time probability density
• Asymptotic results for first-passage times of some exponential processes
• Characterization of the cubic exponential families by orthogonality of polynomials.
• Closed-form solutions for the first-passage-time problem and neuronal modeling
• Component reliability estimation based on system failure-time data
• Convergence theorems for a class of simulated annealing algorithms on ℝ^d
• Eigenvalue expansions for diffusion hitting times
• Estimating component reliability based on failure time data from a system of unknown design
• Exact simulation of first exit times for one-dimensional diffusion processes
• Exponential trends of first-passage-time densities for a class of diffusion processes with steady-state distribution
• First-passage time statistics of Markov gamma processes
• First-passage-time densities for time-non-homogeneous diffusion processes
• Heuristic Approach to the Kolmogorov-Smirnov Theorems
• Hitting distributions of geometric Brownian motion
• Large deviations of conditioned diffusions and applications
• Long- and short-time asymptotics of the first-passage time of the Ornstein-Uhlenbeck and other mean-reverting processes
• Numerical Methods for Approximating Continuous Probability Density Functions, over [0, ∞), Using Moments
• On an integral equation for first-passage-time probability densities
• On some exponential functionals of Brownian motion
• On the First Passage Time Probability Problem
• On the asymptotic behaviour of first-passage-time densities for one-dimensional diffusion processes and varying boundaries
• On the convergence of generalized polynomial chaos expansions
• On the development of functions in series of orthogonal polynomials
• On the evaluation of first-passage-time probability densities via non-singular integral equations
• Optimal design for estimation in diffusion processes from first hitting times
• Orthogonal polynomial expansions to evaluate stop-loss premiums
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
• Statistical Properties of Inverse Gaussian Distributions. I
• Symbolic calculus in mathematical statistics: a review

Cited in

(1)

• A cumulant approach for the first-passage-time problem of the Feller square-root process

Describes a project that uses

Uses Software

• ActuarialOrthogonalPolynomials
• DLMF

This page was built for publication: Approximating the first passage time density from data using generalized Laguerre polynomials

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2684064)