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Statistical analysis and first-passage-time applications of a lognormal diffusion process with multi-sigmoidal logistic mean

Author

Listed:
  • Antonio Di Crescenzo

    (Università degli Studi di Salerno)

  • Paola Paraggio

    (Università degli Studi di Salerno)

  • Patricia Román-Román

    (University of Granada
    Institute of Mathematics of the University of Granada (IMAG))

  • Francisco Torres-Ruiz

    (University of Granada
    Institute of Mathematics of the University of Granada (IMAG))

Abstract

We consider a lognormal diffusion process having a multisigmoidal logistic mean, useful to model the evolution of a population which reaches the maximum level of the growth after many stages. Referring to the problem of statistical inference, two procedures to find the maximum likelihood estimates of the unknown parameters are described. One is based on the resolution of the system of the critical points of the likelihood function, and the other is on the maximization of the likelihood function with the simulated annealing algorithm. A simulation study to validate the described strategies for finding the estimates is also presented, with a real application to epidemiological data. Special attention is also devoted to the first-passage-time problem of the considered diffusion process through a fixed boundary.

Suggested Citation

  • Antonio Di Crescenzo & Paola Paraggio & Patricia Román-Román & Francisco Torres-Ruiz, 2023. "Statistical analysis and first-passage-time applications of a lognormal diffusion process with multi-sigmoidal logistic mean," Statistical Papers, Springer, vol. 64(5), pages 1391-1438, October.
    • Handle: RePEc:spr:stpapr:v:64:y:2023:i:5:d:10.1007_s00362-022-01349-1
    DOI: 10.1007/s00362-022-01349-1
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    References listed on IDEAS

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    1. Virginia Giorno & Amelia G. Nobile, 2019. "Restricted Gompertz-Type Diffusion Processes with Periodic Regulation Functions," Mathematics, MDPI, vol. 7(6), pages 1-19, June.
    2. Petras Rupšys & Martynas Narmontas & Edmundas Petrauskas, 2020. "A Multivariate Hybrid Stochastic Differential Equation Model for Whole-Stand Dynamics," Mathematics, MDPI, vol. 8(12), pages 1-22, December.
    3. Patricia Román-Román & Juan José Serrano-Pérez & Francisco Torres-Ruiz, 2019. "A Note on Estimation of Multi-Sigmoidal Gompertz Functions with Random Noise," Mathematics, MDPI, vol. 7(6), pages 1-18, June.
    4. Román-Román, P. & Torres-Ruiz, F., 2015. "A stochastic model related to the Richards-type growth curve. Estimation by means of simulated annealing and variable neighborhood search," Applied Mathematics and Computation, Elsevier, vol. 266(C), pages 579-598.
    5. Oscar García, 2019. "Estimating reducible stochastic differential equations by conversion to a least-squares problem," Computational Statistics, Springer, vol. 34(1), pages 23-46, March.
    6. Patricia Román-Román & Juan José Serrano-Pérez & Francisco Torres-Ruiz, 2018. "Some Notes about Inference for the Lognormal Diffusion Process with Exogenous Factors," Mathematics, MDPI, vol. 6(5), pages 1-13, May.
    7. Ahmed Nafidi & Ghizlane Moutabir & Ramón Gutiérrez-Sánchez, 2019. "Stochastic Brennan–Schwartz Diffusion Process: Statistical Computation and Application," Mathematics, MDPI, vol. 7(11), pages 1-16, November.
    8. Román, P. & Serrano, J.J. & Torres, F., 2008. "First-passage-time location function: Application to determine first-passage-time densities in diffusion processes," Computational Statistics & Data Analysis, Elsevier, vol. 52(8), pages 4132-4146, April.
    9. Antonio Di Crescenzo & Paola Paraggio, 2019. "Logistic Growth Described by Birth-Death and Diffusion Processes," Mathematics, MDPI, vol. 7(6), pages 1-28, May.
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