Some notes about statistical inference for a new Gompertz diffusion process with exogenous factors
N. Makhlouk, A. Nafidi, R. Gutiérrez Sánchez, E. Ramos-Abalos, R. Gutiérrez Sánchez
The Stochastic Gompertz diffusion process (SGDP) is used to model stochastic phenomena in various fields of science. In the present study, we define and examine a new non-homogeneous extension of the SGDP, based on the fact that both the intrinsic growth rate and the deceleration factor in the drift of this process are affected by exogenous factors. From the corresponding Itô stochastic differential equation (SDE), we obtain the probabilistic characteristics of the proposed process such as the analytical expression as the unique solution of the SDE of the process, the transition probability density function and their statistical distribution, the moments of different orders and, in particular, the conditioned and non-conditioned trends of the process. Finally, the problem of statistical inference of the parameter present in the process is studied by considering discrete sampling and using the maximum likelihood method.
Keywords: Diffusion Process. Gompertz. Exogenous
Scheduled
Posters I
June 7, 2022 12:00 PM
Faculty Hall
Other papers in the same session
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M. J. Garcia-Ligero Ramirez, A. Hermoso-Carazo, J. Linares-Pérez
R. Caballero-Águila, M. A. Carazo, J. Linares Pérez
R. M. Fernández Alcalá, J. D. Jiménez López, J. Navarro Moreno, J. C. Ruiz Molina
A. El Azri, R. Gutiérrez Sánchez, A. Nafidi, E. M. Ramos Ábalos
A. García Nogales, P. Pérez
R. Caballero-Águila, M. A. Hermoso Carazo, J. Linares Pérez
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