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Inference and first‐passage‐times for the lognormal diffusion process with exogenous factors: application to modelling in economics
Author(s) -
Gutiérrez R.,
Román P.,
Torres F.
Publication year - 1999
Publication title -
applied stochastic models in business and industry
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.413
H-Index - 40
eISSN - 1526-4025
pISSN - 1524-1904
DOI - 10.1002/(sici)1526-4025(199910/12)15:4<325::aid-asmb397>3.0.co;2-f
Subject(s) - log normal distribution , econometrics , inference , diffusion , process (computing) , diffusion process , economics , computer science , statistics , mathematics , innovation diffusion , artificial intelligence , knowledge management , physics , thermodynamics , operating system
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 © 1999 John Wiley & Sons, Ltd.