Parametric estimation for a simple branching diffusion process
نویسندگان
چکیده
منابع مشابه
Maximum Likelihood Estimators for a Supercritical Branching Diffusion Process
The log-likelihood of a nonhomogeneous Branching Diffusion Process under several conditions assuring existence and uniqueness of the diffusion part and nonexplosion of the branching process. Expressions for different Fisher information measures are provided. Using the semimartingale structure of the process and its local characteristics, a Girsanov-type result is applied. Finally, an Ornstein-U...
متن کاملA Process-based Parametric Model for Product Cost Estimation
A process-based parametric model for product cost estimation has been developed in this paper. In the model, the production activities of a manufacturing system are classified and their consumption characteristics (mainly the activity cost rates) are analyzed with the Activity-based costing (ABC) method. The relationship from product parameters (the order quantity and design parameters) to the ...
متن کاملA Non-Parametric Test for Continuous-Time Homogeneous Markov Process: Is It a Diffusion Process?
This paper proposes a nonparametric method to test whether an underlying continuoustime homogeneous Markov process is a diffusion process. The test statistic is based on the infinitesimal generator. Under the null hypothesis, we show that the limit distribution of the test statistic is normal. Under the alternative hypothesis, where the jump-diffusion process is assumed, the power of the test i...
متن کاملParametric estimation of a bivariate stable Lévy process
We propose a parametric model for a bivariate stable Lévy process based on a Lévy copula as dependence model. We estimate the parameters of the full bivariate model by maximum likelihood estimation. As observation scheme we assume that we observe all jumps larger than some ε > 0 and base our statistical analysis on the resulting compound Poisson process. We derive the Fisher information matrix ...
متن کاملchannel estimation for mimo-ofdm systems
تخمین دقیق مشخصات کانال در سیستم های مخابراتی یک امر مهم محسوب می گردد. این امر به ویژه در کانال های بیسیم با خاصیت فرکانس گزینی و زمان گزینی شدید، چالش بزرگی است. مقالات متعدد پر از روش های مبتکرانه ای برای طراحی و آنالیز الگوریتم های تخمین کانال است که بیشتر آنها از روش های خاصی استفاده می کنند که یا دارای عملکرد خوب با پیچیدگی محاسباتی بالا هستند و یا با عملکرد نه چندان خوب پیچیدگی پایینی...
ذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 1979
ISSN: 0047-259X
DOI: 10.1016/0047-259x(79)90069-1