Leonenko, Nikolai N. and Šuvak, N. 2010. Statistical inference for reciprocal gamma diffusion process. Journal of Statistical Planning and Inference 140 (1) , pp. 30-51. 10.1016/j.jspi.2009.06.009 |
Abstract
We consider the problem of parameter estimation for an ergodic diffusion with reciprocal gamma invariant distribution. Spectral decomposition of the transition density of such a Markov process is presented in terms of a finite number of discrete eigenfunctions (Bessel polynomials) and eigenfunctions related to a continuous part of the spectrum of the negative infinitesimal generator of reciprocal gamma diffusion. Consistency and asymptotical normality of proposed estimators are presented. Based on the Stein equation for reciprocal gamma diffusion and Bessel polynomials, the hypothesis testing procedure is considered.
Item Type: | Article |
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Date Type: | Publication |
Status: | Published |
Schools: | Mathematics |
Subjects: | Q Science > QA Mathematics |
Uncontrolled Keywords: | Asymptotic normality; Bessel polynomials; Consistency; Heavy-tailed distribution; Martingale estimation equation; Method of moments; Pearson equation; Reciprocal gamma distribution; Reciprocal gamma diffusion; Stationary distribution; Stein equation; Stochastic differential equation |
Publisher: | Elsevier |
ISSN: | 0378-3758 |
Last Modified: | 04 Jun 2017 02:55 |
URI: | http://orca.cf.ac.uk/id/eprint/13901 |
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