Pregled bibliografske jedinice broj: 1076201
Parameter Estimation for Non-Stationary Fisher- Snedecor Diffusion
Parameter Estimation for Non-Stationary Fisher- Snedecor Diffusion // Methodology and computing in applied probability, 22 (2020), 3; 1023-1061 doi:10.1007/s11009-019-09755-z (međunarodna recenzija, članak, znanstveni)
CROSBI ID: 1076201 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Parameter Estimation for Non-Stationary Fisher-
Snedecor Diffusion
Autori
Kulik, Alexei ; Leonenko, Nikolai ; Papić, Ivan ; Šuvak, Nenad
Izvornik
Methodology and computing in applied probability (1387-5841) 22
(2020), 3;
1023-1061
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
Fisher-Snedecor diffusion ; Generalized method of moments (GMM) ; P-consistency ; Asymptotic normality ; Iterative technique for the calculation of the asymptotic covariance matrix
Sažetak
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
Izvorni jezik
Engleski
Znanstvena područja
Matematika
POVEZANOST RADA
Ustanove:
Sveučilište u Osijeku, Odjel za matematiku
Citiraj ovu publikaciju:
Časopis indeksira:
- Web of Science Core Collection (WoSCC)
- Science Citation Index Expanded (SCI-EXP)
- SCI-EXP, SSCI i/ili A&HCI
- Scopus
