Log-symmetric distributions: Statistical properties and parameter estimation

In this paper statistical properties of estimators of drift parameters for diffusion processes are studied by modern numerical methods for stochastic differential equations. This is a particularly useful method for discrete time samples, where estimators can be constructed by making discrete time approximations to the stochastic integrals appearing in the maximum likelihood estimators for continuously observed diffusions. A review is given of the necessary theory for parameter estimation for diffusion processes and for simulation of diffusion processes. Three examples are studied.

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Extraction of statistical properties of the point source response of a reverberant plate and application to parameter estimation (L)

The Journal of the Acoustical Society of America ◽

10.1121/1.4750495 ◽

2012 ◽

Vol 132 (4) ◽

pp. 2165-2168 ◽

Cited By ~ 6

Author(s):

Emmanuel Moulin ◽

Hossep Achdjian ◽

Jamal Assaad ◽

Najib Abou Leyla ◽

Karl Hourany ◽

...

Keyword(s):

Parameter Estimation ◽

Point Source ◽

Statistical Properties

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Cubic Transformation of Exponential Weibull and its Statistical Properties

Journal of Scientific Research and Reports ◽

10.9734/jsrr/2020/v26i1130334 ◽

2020 ◽

pp. 39-50

Author(s):

Haiyue Wang ◽

Zhenhua Bao

Keyword(s):

Parameter Estimation ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Weibull Distribution ◽

Likelihood Estimation ◽

Real Data ◽

Statistical Properties ◽

Reasoning Process ◽

The Family

In this paper, a cubic transformation exponential Weibull distribution is proposed by using the family of cubic transformation distributions introduced by Rahman et al.The reasoning process of the proposed cubic transformation exponential Weibull distribution is discussed in detail, and its statistical properties and parameter estimation are also discussed.Using real data, the maximum likelihood estimation is used to simulate. Through the comparison of fitting results, it is concluded that the cubic transformation exponential Weibull distribution proposed in this paper has stronger applicability.

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On effects of discretization on estimators of drift parameters for diffusion processes

Journal of Applied Probability ◽

10.2307/3214986 ◽

1996 ◽

Vol 33 (4) ◽

pp. 1061-1076 ◽

Cited By ~ 21

Author(s):

P. E. Kloeden ◽

E. Platen ◽

H. Schurz ◽

M. Sørensen

Keyword(s):

Parameter Estimation ◽

Maximum Likelihood ◽

Numerical Methods ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Discrete Time ◽

Diffusion Processes ◽

Maximum Likelihood Estimators ◽

Statistical Properties ◽

Stochastic Integrals

In this paper statistical properties of estimators of drift parameters for diffusion processes are studied by modern numerical methods for stochastic differential equations. This is a particularly useful method for discrete time samples, where estimators can be constructed by making discrete time approximations to the stochastic integrals appearing in the maximum likelihood estimators for continuously observed diffusions. A review is given of the necessary theory for parameter estimation for diffusion processes and for simulation of diffusion processes. Three examples are studied.

Download Full-text