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Generalization of the Divisia Price and Quantity Indices in a Stochastic Model with Continuous Time

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  • Jacek Białek

Abstract

In this article, we present and discuss original price and quantity index formulas being a next step in Francois Divisia's index approach. We assume that prices and quantities of the given commodities are stochastic processes and we consider a continuous-time model. As a consequence, we obtain very general index formulas being random variables for any fixed time interval of observations. We present basic properties of the discussed formulas and show that, in the deterministic case, the general formulas lead to known classic Divisia indices.

Suggested Citation

  • Jacek Białek, 2015. "Generalization of the Divisia Price and Quantity Indices in a Stochastic Model with Continuous Time," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 44(2), pages 309-328, January.
    • Handle: RePEc:taf:lstaxx:v:44:y:2015:i:2:p:309-328
    DOI: 10.1080/03610926.2014.968738
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