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Statistical Inference for Student Diffusion Process

Leonenko, Nikolai N. and Šuvak, N. 2010. Statistical Inference for Student Diffusion Process. Stochastic Analysis and Applications 28 (6) , pp. 972-1002. 10.1080/07362994.2010.515476

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Abstract

We consider the problem of parameter estimation for an ergodic diffusion with the symmetric scaled Student invariant distribution, where the spectral representation of the transition density is given in terms of the finite number of polynomial eigenfunctions (Routh–Romanovski polynomials) and absolutely continuous spectrum of the negative infinitesimal generator of observed diffusion. We prove the consistency and asymptotic normality of the proposed estimators and, based on the Stein equation for Student diffusion, consider the statistical test for the Student distributional assumptions.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Subjects: Q Science > QA Mathematics
Uncontrolled Keywords: Method of moments, Pearson equation, Routh–Romanovski polynomials, Stein equation, Student diffusion
Publisher: Taylor and Francis
ISSN: 0736-2994
Last Modified: 04 Jun 2017 02:55
URI: http://orca.cf.ac.uk/id/eprint/13902

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