کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1140500 | 1489436 | 2008 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Trend analysis and computational statistical estimation in a stochastic Rayleigh model: Simulation and application
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
سایر رشته های مهندسی
کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper considers a stochastic model based on the homogeneous stochastic Rayleigh diffusion process. We first examine the main probabilistic characteristics of the model and describe, among other results, an explicit expression of the trends (both conditioned and nonconditioned) and, when it exists, the stationary distribution. We then obtain results of the statistical estimation of the corresponding parameters and consider the computational problems that may arise. In addition, we present an algorithm for the stochastic simulation of the sample path of the model based on the corresponding Ito stochastic differential equation. Finally, the model is applied to study the evolution of the production of thermal electricity in countries in the Maghreb region; the results obtained are in good statistical accord with the real data observed for the period 1980-2002.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematics and Computers in Simulation - Volume 77, Issues 2â3, 7 March 2008, Pages 209-217
Journal: Mathematics and Computers in Simulation - Volume 77, Issues 2â3, 7 March 2008, Pages 209-217
نویسندگان
R. Gutiérrez, R. Gutiérrez-Sánchez, A. Nafidi,