Inference and first-passage-times for the lognormal diffusion process with exogenous factors:: Application to modelling in economics

被引：0

作者：

Gutiérrez, R ^{[1
]}

Román, P ^{[1
]}

Torres, F ^{[1
]}

机构：

[1] Univ Granada, Fac Ciencias, Dept Estadist & Invest Operat, E-18071 Granada, Spain

来源：

APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY | 1999年 / 15卷 / 04期

关键词：

lognormal diffusion process; exogenous factors; first-passage times;

D O I：

10.1002/(SICI)1526-4025(199910/12)15:4<325::AID-ASMB397>3.0.CO;2-F

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

In this paper we present a methodology to build a lognormal diffusion process with exogenous factors that models economic variables. This model allows us to study the problems of forecasting as first-passage-times. We show an example with the GNP of Spain. Copyright (C) 1999 John Wiley & Sons, Ltd.

引用

页码：325 / 332

页数：8

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