A comparison of methods for estimating parameters of the stochastic Lomax process: through simulation study

Ahmed Nafidi; İlyasse Makroz

Makale detayları

A comparison of methods for estimating parameters of the stochastic Lomax process: through simulation study

Yazarlar:

Ahmed Nafidi | İlyasse Makroz

Yayıncı:

Hacettepe University

Ana Başlıklar:

Computational Statistics | Probability Theory | Applied Statistics | Statistics (Other)

Dergi:

Hacettepe Journal of Mathematics and Statistics Vol.53 Issue 2, pp.495-505

Belge Tipi:

Makale

Yayın Tarihi:

4/2024

Belge Dili:

İngilizce

Document ID (Org No.):

2001315602

pISSN:

2651-477X

Anahtar kelimeler:

Özet:

 In this paper, we study the problem of parameter estimation of the stochastic Lomax diffusion process, this process was introduced in A. Nafidi, I. Makroz, and R. Gutiérrez Sánchez, A stochastic lomax diffusion process: Statistical inference and application, Mathematics, 202114, and the authors suggested the method of simulated annealing to find the maximum likelihood estimators of this process. In this work, we propose alternative methods for finding the maximum likelihood estimators, namely Genetic algorithm and Nelder-Mead, we also investigate the use of Markov Chain Monte Carlo method to determine the model parameters. Finally, an example of application through the simulation of paths for the process is suggested. Then, a comparison is made between the application of three algorithms based on their accuracy and time of execution.

 In this paper, we study the problem of parameter estimation of the stochastic Lomax diffusion process, this process was introduced in A. Nafidi, I. Makroz, and R. Gutiérrez Sánchez, A stochastic lomax diffusion process: Statistical inference and application, Mathematics, 202114, and the authors suggested the method of simulated annealing to find the maximum likelihood estimators of this process. In this work, we propose alternative methods for finding the maximum likelihood estimators, namely Genetic algorithm and Nelder-Mead, we also investigate the use of Markov Chain Monte Carlo method to determine the model parameters. Finally, an example of application through the simulation of paths for the process is suggested. Then, a comparison is made between the application of three algorithms based on their accuracy and time of execution.

 In this paper, we study the problem of parameter estimation of the stochastic Lomax diffusion process, this process was introduced in A. Nafidi, I. Makroz, and R. Gutiérrez Sánchez, A stochastic lomax diffusion process: Statistical inference and application, Mathematics, 202114, and the authors suggested the method of simulated annealing to find the maximum likelihood estimators of this process. In this work, we propose alternative methods for finding the maximum likelihood estimators, namely Genetic algorithm and Nelder-Mead, we also investigate the use of Markov Chain Monte Carlo method to determine the model parameters. Finally, an example of application through the simulation of paths for the process is suggested. Then, a comparison is made between the application of three algorithms based on their accuracy and time of execution.

 In this paper, we study the problem of parameter estimation of the stochastic Lomax diffusion process, this process was introduced in A. Nafidi, I. Makroz, and R. Gutiérrez Sánchez, A stochastic lomax diffusion process: Statistical inference and application, Mathematics, 202114, and the authors suggested the method of simulated annealing to find the maximum likelihood estimators of this process. In this work, we propose alternative methods for finding the maximum likelihood estimators, namely Genetic algorithm and Nelder-Mead, we also investigate the use of Markov Chain Monte Carlo method to determine the model parameters. Finally, an example of application through the simulation of paths for the process is suggested. Then, a comparison is made between the application of three algorithms based on their accuracy and time of execution.

Makale detayları

A comparison of methods for estimating parameters of the stochastic Lomax process: through simulation study

Yazarlar:

Ahmed Nafidi | İlyasse Makroz

Yayıncı:

Hacettepe University

Ana Başlıklar:

Computational Statistics | Probability Theory | Applied Statistics | Statistics (Other)

Dergi:

Hacettepe Journal of Mathematics and Statistics Vol.53 Issue 2, pp.495-505

Belge Tipi:

Makale

Yayın Tarihi:

4/2024

Belge Dili:

İngilizce

Document ID (Org No.):

2001315602

pISSN:

2651-477X

Lomax diffusion process

trend analysis

metaheuristic optimization algorithms

Markov Chain Monte Carlo

simulation

likelihood estimation

Sayı

Makale detayları

A comparison of methods for estimating parameters of the stochastic Lomax process: through simulation study

Yazarlar: Ahmed Nafidi | İlyasse Makroz

Yayıncı: Hacettepe University

Ana Başlıklar: Computational Statistics | Probability Theory | Applied Statistics | Statistics (Other)

Dergi: Hacettepe Journal of Mathematics and Statistics Vol.53 Issue 2, pp.495-505

Belge Tipi: Makale

Yayın Tarihi: 4/2024

Belge Dili: İngilizce

Document ID (Org No.): 2001315602

pISSN: 2651-477X

Lomax diffusion process

trend analysis

metaheuristic optimization algorithms

Markov Chain Monte Carlo

simulation

likelihood estimation

Sayı

Yazarlar:

Ahmed Nafidi | İlyasse Makroz

Yayıncı:

Hacettepe University

Ana Başlıklar:

Computational Statistics | Probability Theory | Applied Statistics | Statistics (Other)

Dergi:

Hacettepe Journal of Mathematics and Statistics Vol.53 Issue 2, pp.495-505

Belge Tipi:

Makale

Yayın Tarihi:

4/2024

Belge Dili:

İngilizce

Document ID (Org No.):

2001315602

pISSN:

2651-477X