Abstract
This paper compares four different methods to obtain maximum likelihood estimates of the parameters of a Gompertz-lognormal diffusion process, where no analytical solution for the likelihood equations exists. A recursive method, a Newton-Raphson algorithm, a Simulated Annealing algorithm and an Evolutionary Algorithm to obtain estimates are proposed. The four methods are compared using a simulated data set. The results are compared with simulated paths of the process in terms of several error measurements.
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Rico, N., Romero, D., Arenas, M.G. (2013). Comparing Some Estimate Methods in a Gompertz-Lognormal Diffusion Process. In: Moreno-DÃaz, R., Pichler, F., Quesada-Arencibia, A. (eds) Computer Aided Systems Theory - EUROCAST 2013. EUROCAST 2013. Lecture Notes in Computer Science, vol 8111. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-53856-8_63
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DOI: https://doi.org/10.1007/978-3-642-53856-8_63
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-53855-1
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