Seminario de Estadística e Investigación Operativa (Virtual): Approximated Transition Densities of Logistic-Type Diffusions Via Hermite Expansions.

  • Ponente: Antonio Barrera García (Dpto. de Análisis Matemático, Estadística e Investigación Operativa y Matemática Aplicada. Universidad de Málaga)
  • Día y hora: Jueves 10 de Diciembre, 12:00 – 13:00
  • Lugar: Sala Virtual Newton, Acceso Sala Newton
  • Contraseña de la reunión: 339336
  • Abstract: Logistic-type dynamics are widely used in modelling different phenomena. Following classic ordinary differential equations, continuous time-inhomogeneous diffusion processes can be obtained by including a time-dependent growth rate function and noise-perturbed regulation functions. This usually leads to unknown transition densities, complicating other procedures such as likelihood estimation. Approximations of such unknown functions may help to deal with this issue, provided limit theorems guarantee the convergence to the true densities. Hermite expansion around the standard gaussian distribution have been a successful approach to the problem. Previous transformations of the original density are required in order to reduce the assumptions about normality which could not be met in some practical applications. In this work, this procedure is revised and adapted to the case of time-inhomogeneous diffusion processes with logistic mean behaviour. Some results are established in terms of the time-dependent growth rate function. Remarks about the influence of the sole growth rate function are discussed.
  • Organiza: Instituto de Matemáticas IEMath-GR
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