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- Title
Detection, modelling and estimation of non-linear trends by using a non-homogeneous Vasicek stochastic diffusion. Application to CO emissions in Morocco.
- Authors
Gutiérrez, R.; Gutiérrez-Sánchez, R.; Nafidi, A.; Pascual, A.
- Abstract
This paper proposes a new stochastic model, based on a Vasicek non-homogeneous diffusion process, in which the non-linear trend coefficient (drift) depends on deterministic functions that describe the dynamic evolution of certain exogenous variables. After studying its probabilistic characteristics, and in particular the transition probability density and trend function, the associated stochastic inference based on discrete sampling in time is established using maximum likelihood methodology. This model is applied to detect, estimate and model the non-linear trend present in data corresponding to CO emissions in Morocco. Energy and financial variables that affect the behaviour of this trend are also detected, and substantial improvement provided by this non-homogeneous model with respect to its corresponding homogeneous version, is confirmed.
- Subjects
STOCHASTIC processes; MARKOV processes; DIFFUSION processes; MATHEMATICAL functions; PROBABILITY theory
- Publication
Stochastic Environmental Research & Risk Assessment, 2012, Vol 26, Issue 4, p533
- ISSN
1436-3240
- Publication type
Article
- DOI
10.1007/s00477-011-0499-z