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ARPN Journal of Science and Technology >> Volume 7, Issue 2, November 2017

ARPN Journal of Science and Technology

Three Parameter Log normal Multidimensional Diffusion Process With Exogenous Factors

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Author Manal Bouskraoui, Aziz Arba
ISSN 2225-7217
On Pages 512-515
Volume No. 4
Issue No. 8
Issue Date September 01, 2014
Publishing Date September 01, 2014
Keywords blackThree-parameter; log normal process; discrete sampling; diffusion process; local maximum-likelihood estimation.


blackThis article we propose a log normal distribution with a threshold parameter. This was considered as an extension of the bi-parameter process by adding third parameter. The Kolmogorov equations and Ito’s stochastic differential equations give us the transition probability density function and the moments of this process. Assuming the discrete sampling of the sample path of the model, the local maximum-likelihood estimate the parameters except the threshold, which it estimation requires us to solve a non-linear equation for this, Newton-Raphson method is called.

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