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Pregled bibliografske jedinice broj: 541773

Časopis

Autori: Horvat-Bokor, Roža; Huzak, Miljenko; Limić, Nedžad
Naslov: Estimation of the killing rate parameter in a diffusion model
Izvornik: Mathematical communications (1331-0623) 17 (2012), 1; 171-185
Vrsta rada: članak
Ključne riječi: diffusion with killing; censored data; minimum $\chi^2$-estimation; random search
Sažetak:
We consider a parameter estimation problem for a diffusion with killing, starting at a point in an open and bounded set. The infinitesimal killing rate function depends on a control variable and parameters. Values of the control variable are known while parameters have unknown values which have to be estimated from data. The minimum of three times: the maximum observation time, the first exit time from the open set, and the killing time, is observed. Instead of the maximum likelihood estimation method we propose and use the minimum $\chi^2$-estimation method that is based on the conditional mean of the data observed before the maximum observation time is reached, and on the frequency of data that are equal to the maximum observation time. We prove that the estimator exists and is consistent and asymptotically normal. The method is illustrated by an example.
Projekt / tema: 037-0372790-2800, 037-1193086-2771, 037058
Izvorni jezik: ENG
Rad je indeksiran u
bazama podataka:
Scopus
SCI-EXP, SSCI i/ili A&HCI
Science Citation Index Expanded (SCI-EXP) (sastavni dio Web of Science Core Collectiona)
Kategorija: Znanstveni
Znanstvena područja:
Matematika
URL cjelovitog teksta:
Časopis izlazi u samo elektroničkom izdanju: NE
Google Scholar: Estimation of the killing rate parameter in a diffusion model
Upisao u CROSBI: huzak.math@pmf.hr (huzak.math@pmf.hr), 16. Stu. 2011. u 13:36 sati



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