EUROCAST 2013: Computer Aided Systems Theory - EUROCAST 2013 pp 499-506 | Cite as
Comparing Some Estimate Methods in a Gompertz-Lognormal Diffusion Process
Conference paper
Abstract
This paper compares four different methods to obtain maximum likelihood estimates of the parameters of a Gompertz-lognormal diffusion process, where no analytical solution for the likelihood equations exists. A recursive method, a Newton-Raphson algorithm, a Simulated Annealing algorithm and an Evolutionary Algorithm to obtain estimates are proposed. The four methods are compared using a simulated data set. The results are compared with simulated paths of the process in terms of several error measurements.
Keywords
Maximum likelihood estimate optimization algorithmPreview
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