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Algorithm AS 309: Estimation in Multivariate Log‐normal Diffusion Processes with Exogenous Factors
Author(s) -
Gutiérrez Jáimez R.,
González Carmona A.,
Torres Ruiz F.
Publication year - 1997
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.1111/1467-9876.00054
Subject(s) - humanities , art
One-dimensional log-normal diusion processes have been widely studied and applied to several problems in economics (Tintner and Sengupta, 1972; Tintner and Go mez, 1979). Recently Gutie rrez et al. (1991) have studied the multivariate log-normal diusion process with exogenous factors by using discrete sampling. This work included a program for inference on the parameters of the exogenous factors. In this paper we propose an ampli®cation of this program, including Neudecker's calculus and tests of hypotheses for the parameters (using also discrete sampling). H be a k-dimensional vector whose components are the variables of the process, which we name the endogenous variables, and let F i
t
i 1, X X X, p denote p real-valued functions in [0, T] that constitute the exogenous factors.