Work

Stochastic modeling with time-inhomogeneous Jacobi diffusions: applications to bounded and seasonal environmental processes

Year: 2024

Type: article

Abstract: In this paper we explore stochastic modeling of bounded processes in continuous time using time-inhomogeneous Jacobi diffusions. We present some basic general results and introduce a subclass of models with seasonal time variation. In the seasonal models we derive the conditional mean and variance in closed form and propose a strategy for estimation based on quasi maximum likelihood. An empirical application is carried out to daily time series data on relative humidity. Simulation methods are used to investigate properties of the resulting parameter estimators. The results show that the proposed seasonal Jacobi model gives a very satisfactory fit to data and that the estimation procedure works well.

Source: Stochastic Environmental Research and Risk Assessment

DOI: 10.1007/s00477-024-02849-2

Author: Karl Larsson

Institution: Örebro University

Language: English

Topic: Statistical Distribution Estimation and Applications

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: hybrid

Estimated APC paid: $3,890

Funder: Örebro Universitet