The Pearson diffusions is a flexible class of diffusions defined by having linear drift and quadratic squared diffusion coefficient. It is demonstrated that for this class explicit statistical inference is feasible. Explicit optimal martingale estimating functions are found, and the...

In the past several decades, new-product diffusion models has been an active area of research in marketing (see, e.g., Mahajan, Muller, and Wind 2000, and Mahajan and Wind 1986). Such models are useful because they can provide important insights into the timing of initial purchase of new...

Korean Abstract : 이 논문에서는 한국의 주별 익일물 콜금리를 사용해 국면전환 확산과정모형을 추정했다. 일반적인 비선형 추세 함수와 분산 탄력성이 상수인 변동성 함수를 갖는 확산과정모형에서 모수들이 경제상황에 따라...