Please use this identifier to cite or link to this item:
http://hdl.handle.net/10174/1535
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Title: | A SDE growth model: Nonparametric Estimation of the Drift and the Diffusion Coefficients |
Authors: | Filipe, Patrícia A. Braumann, Carlos A. |
Keywords: | stochastic differential equations growth models estimation cattle weight |
Issue Date: | 27-Jun-2008 |
Abstract: | We study a stochastic differential
equation (SDE) growth model to describe individual growth in random environments. In particular, in this work, we discuss the
estimation of the drift and the diffusion coefficients using non-parametric methods. We illustrate the methodology by using
bovine growth data.
Considering the diffusion process X_{t}, describing the weight
of an animal at age t, characterized by the stochastic
differential equation dX(t)=a(X(t))dt+b(X(t))dW(t), with W(t) being the Wiener process, we estimate the infinitesimal
coefficients a(x) and b(x) nonparametrically. Our goal was to
analyse which of the parametric models (with specific functional
forms for a(x) and b(x)) previously used by us to describe the
evolution of bovine weight were good choices and also to see whether some alternative specific parametrized functional forms of
a(x) and b(x) might be suggested for further parametric
analysis of this data. |
URI: | http://hdl.handle.net/10174/1535 |
Type: | lecture |
Appears in Collections: | MAT - Comunicações - Em Congressos Científicos Internacionais
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