Pregled bibliografske jedinice broj: 389513
Statistical inference for reciprocal gamma diffusion process
Statistical inference for reciprocal gamma diffusion process // Journal of statistical planning and inference, 140 (2010), 1; 30-51 (međunarodna recenzija, članak, znanstveni)
CROSBI ID: 389513 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Statistical inference for reciprocal gamma diffusion process
Autori
Leonenko, Nikolai ; Šuvak, Nenad
Izvornik
Journal of statistical planning and inference (0378-3758) 140
(2010), 1;
30-51
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
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.
Sažetak
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 sum over the discrete spectrum and an integral over the essential 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.
Izvorni jezik
Engleski
Znanstvena područja
Matematika, Ekonomija
POVEZANOST RADA
Projekti:
010-0101195-1048 - Modeli za ocjenu rizičnosti poslovanja poduzeća (Šarlija, Nataša, MZOS ) ( CroRIS)
235-2352818-1039 - Statistički aspekti problema procjene u nelinearnim parametarskim modelima (Benšić, Mirta, MZOS ) ( CroRIS)
Ustanove:
Ekonomski fakultet, Osijek,
Sveučilište u Osijeku, Odjel za matematiku
Profili:
Nenad Šuvak
(autor)
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
