Stochastic square root of the Lundqvist-Korf diffusion process: Computational statistical inference and simulation aspects

A. El Azri, A. Nafidi, R. Gutiérrez Sánchez, E. M. Ramos Ábalos

This work presents a new inhomogeneous stochastic diffusion process, defined by the square root of the inhomogeneous stochastic Lundqvist-Korf diffusion process, which we term the stochastic square root of the Lundqvist-Korf diffusion process. Using a transformation in diffusion process and by applying Itô's calculus. First, we establish the probabilistic characteristics of the process, such as its analytic expression, after which we determine the transition probability density function and the mean functions. The parameters present in the process are estimated by maximum likelihood method using discrete sampling. Due to the problem of maximum likelihood estimation of the parameters, the resulting system of equations is quite complex and the simulated annealing algorithm is proposed to solve it. Finally, we apply the proposed process and statistical results obtained to a simulated data.

Keywords: Stochastic Lundqvist-Korf diffusion process, Maximum likelihood estimation, Simulated annealing method, Statistical inference in diffusion process

Posters I
June 7, 2022  12:00 PM
Faculty Hall

A. García Nogales, P. Pérez Fernández

R. Caballero-Águila, M. A. Carazo, J. Linares Pérez

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

N. Makhlouk, A. Nafidi, R. Gutiérrez Sánchez, E. Ramos-Abalos, R. Gutiérrez Sánchez

A. García Nogales, P. Pérez

R. Caballero-Águila, M. A. Hermoso Carazo, J. Linares Pérez