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dc.contributor.authorNafidi, Ahmed
dc.contributor.authorMakroz, Ilyasse
dc.contributor.authorGutiérrez Sánchez, Ramón
dc.identifier.citationNafidi, A.; Makroz, I.; Gutiérrez-Sánchez, R. A Stochastic Lomax Diffusion Process: Statistical Inference and Application. Mathematics 2021, 9, 100. [https://doi. org/10.3390/math9010100]es_ES
dc.descriptionThe authors are very grateful to Editor and referees for consecutive comments and suggestions. This research has been funded by "FEDER/Junta de Andalucia-Consejeria de Economia y Conocimiento/ Proyecto A-FQM-228-UGR18".es_ES
dc.description.abstractIn this paper, we discuss a new stochastic diffusion process in which the trend function is proportional to the Lomax density function. This distribution arises naturally in the studies of the frequency of extremely rare events. We first consider the probabilistic characteristics of the proposed model, including its analytic expression as the unique solution to a stochastic differential equation, the transition probability density function together with the conditional and unconditional trend functions. Then, we present a method to address the problem of parameter estimation using maximum likelihood with discrete sampling. This estimation requires the solution of a non-linear equation, which is achieved via the simulated annealing method. Finally, we apply the proposed model to a real-world example concerning adolescent fertility rate in Morocco.es_ES
dc.description.sponsorshipFEDER/Junta de Andalucia-Consejeria de Economia y Conocimiento A-FQM-228-UGR18es_ES
dc.rightsAtribución 3.0 España*
dc.subjectStochastic differential equationes_ES
dc.subjectLomax distributiones_ES
dc.subjectTrend functiones_ES
dc.subjectStatistical inferencees_ES
dc.subjectSimulated annealinges_ES
dc.subjectAdolescent fertility ratees_ES
dc.titleA Stochastic Lomax Diffusion Process: Statistical Inference and Applicationes_ES

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Atribución 3.0 España
Except where otherwise noted, this item's license is described as Atribución 3.0 España