Fourth Edition of the International Conference on Research in Applied Mathematics and Computer Science ICRAMCS 2022
 March 24-25-26, 2022
Online and Face-to-Face Conference

ICRAMCS, 4 (2022) | Proceedings ISSN: 2605-7700

Research Communication | Open Access
Volume 2022 | Communication ID 446
Stochastic Pareto type VI diffusion model: statistical inference and simulation
Ilyasse Makroz, Ahmed Nafidi
Academic Editor: Youssef EL FOUTAYENI
Received
Accepted
Published
January 31, 2022
March 03, 2375
April 15, 2375

Abstract: In this work, we consider a stochastic model based on the generalized Pareto curve and concretely Pareto of type VI curve. First, we will describe some probabilistic properties of the proposed process. Then, we will address the problem of parameter estimation using maximum likelihood. Since a complex system of equations appears, with a solution that cannot be guaranteed by classical numerical methods, we recommend the use of metaheuristic optimization algorithms and specifically simulated annealing algorithm. Finally, in order to validate our results, the methods described are applied to ...