Estimation in multivariate log-normal diffusion processes with exogenous factors

Journal of the Royal Statistical Society. Series C: Applied Statistics

Volumn 46, Issue 1, 1997, Pages 140-146

  Jáimez, R Gutiérrez ^a   Gonzalez Carmona A ^b   Torres Ruiz, F ^b  

^a UNIVERSITY OF GRANADA   (Spain)

^b NONE

Author keywords

Exogenous factors; Maximum likelihood; Multivariate log normal diffusion process; U statistic

Indexed keywords

PARAMETER ESTIMATION; VECTORS;

MULTIVARIATE LOG NORMAL DIFFUSION PROCESS;

STATISTICAL METHODS;

EID: 0031341375     PISSN: 00359254     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9876.00054     Document Type: Article

References (6)

1. Anderson, T. W. (1984) An Introduction to Multivariate Statistical Analysis. New York: Wiley.
2. Gutiérrez, R., Angulo, J. M., Gonzalez, A. and Pérez, R. (1991) Inference in lognormal multidimensional diffusion processes with exogenous factors: application to modelling in economics. Appl. Stoch. Models Data Anal., 7, 295-316.
3. Magnus, J. R. and Neudecker, H. (1988) Matrix Differential Calculus with Applications in Statistics and Econometrics. New York: Wiley.
4. Muirhead, R. J. (1982) Aspects of Multivariate Statistical Theory. New York: Wiley.
5. Tintner, G. and Gómez, G. L. (1979) The application of the diffusion processes in problems of developmental economic planning. Trab. Estad., 30, no. 2, 33-55.
6. Tintner, G. and Sengupta, J. K. (1972) Stochastics Economics Processes: Control and Programming. New York: Academic Press.