engleski

Parameter Estimation for Non-Stationary Fisher- Snedecor Diffusion

The problem of parameter estimation for the non- stationary ergodic diffusion with FisherSnedecor 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

Fisher-Snedecor diffusion ; Generalized method of moments (GMM) ; P-consistency ; Asymptotic normality ; Iterative technique for the calculation of the asymptotic covariance matrix

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