Estimation in Multivariate Log-Normal Diffusion Processes with Exogenous Factors

DOI10.1111/1467-9876.00054MaRDI QIDQ4390932zbMATH OpenOpenAlexFDO

Authors Ramón Gutiérrez-Jáimez, A. González-Carmona, Ruiz F. Torres

Publication date 10 August 1998

Published in Journal of the Royal Statistical Society Series C: Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9876.00054

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

Cited in

(6)

• Trend analysis using nonhomogeneous stochastic diffusion processes. Emission of CO\({}_{2}\); Kyoto protocol in Spain
• Inference on some parametric functions in the univariate lognormal diffusion process with exogenous factors
• The stochastic Rayleigh diffusion model: Statistical inference and computational aspects. applications to modelling of real cases
• Estimation and prediction of a 2D lognormal diffusion random field
• A new Gompertz-type diffusion process with application to random growth
• Inference and first-passage-times for the lognormal diffusion process with exogenous factors: application to modelling in economics

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