Stochastic Pareto diffusion process : Statistical analysis and computational issues. Simulation and Application
We propose a novel diffusion process having a mean function equal to the Pareto probability density function up to a constant of proportionality. We examine the probabilistic properties of the proposed model. Then, referring to the problem of statistical inference, we describe the approach employed...
Main Authors: | , , , |
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Format: | Article |
Language: | English |
Published: |
Sciendo
2023-01-01
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Series: | Moroccan Journal of Pure and Applied Analysis |
Subjects: | |
Online Access: | https://doi.org/10.2478/mjpaa-2023-0009 |