Naslov
Statistical inference for inverse gamma diffusion process

Autori
Leonenko, Nikolai ; Šuvak, Nenad

Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, sažetak, ostalo

Skup
4th Croatian Mathematical Congress

Mjesto i datum
Osijek, Hrvatska, 17.06.2008. - 20.06.2008

Vrsta sudjelovanja
Poster

Vrsta recenzije
Nije recenziran

Ključne riječi
Asymptotic normality; autocorrelation function; Bessel polynomials; consistency; inverse gamma distribution; heavy tailed distribution; mixing coefficient; method of moments; Pearson equation; spectral decomposition; Stein equation.

Sažetak
Stationary diffusion process with invariant marginal inverse gamma distribution is considered. The transition probability is represented as principal solution of corresponding Fokker-Planck equation. Its spectral decomposition in terms of eigenfunctions related to discrete part of the spectrum (i.e. Bessel polynomials) and eigenfunctions related to continuous part of the spectrum is represented. Statistical part includes method of moment estimation of unknown parameters of inverse gamma diffusion. Their consistency and asymptotic normality under mixing properties of corresponding process are analyzed. As conclusion, procedure based on Stein equation for testing inverse gamma distributional assumptions is presented.

Izvorni jezik
Engleski

Znanstvena područja
Matematika

POVEZANOST RADA