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Parameter estimation for non-stationary Fisher-Snedecor diffusion

Kulik, Alexey M, Leonenko, Nikolai N, Papic, I and Suvak, N 2020. Parameter estimation for non-stationary Fisher-Snedecor diffusion. Methodology and Computing in Applied Probability 22 , pp. 1023-1061. 10.1007/s11009-019-09755-z
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Abstract

The problem of parameter estimation for the non-stationary ergodic diffusion with Fisher-Snedecor invariant distribution, to be called Fisher-Snedecor diffusion, is considered. We propose generalized method of moments (GMM) estimator of unknown parameter, based on continuous-time observations, and prove its consistency and asymptotic normality. The explicit form of the asymptotic covariance matrix in asymptotic normality framework is calculated according to the new iterative technique based on evolutionary equations for the point-wise covariations. The results are illustrated in a simulation study covering various starting distributions and parameter values.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Publisher: Springer Verlag (Germany)
ISSN: 1387-5841
Date of First Compliant Deposit: 18 November 2019
Date of Acceptance: 18 November 2019
Last Modified: 04 Aug 2020 13:06
URI: http://orca.cf.ac.uk/id/eprint/126924

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