Pregled bibliografske jedinice broj: 441331
Parameter estimation for Fisher-Snedecor diffusion
Parameter estimation for Fisher-Snedecor diffusion // Statistics (Berlin), 45 (2011), 1; 27-42 (međunarodna recenzija, članak, znanstveni)
CROSBI ID: 441331 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Parameter estimation for Fisher-Snedecor diffusion
Autori
Avram, Florin ; Leonenko, Nikolai ; Šuvak, Nenad
Izvornik
Statistics (Berlin) (0233-1888) 45
(2011), 1;
27-42
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
Fisher-Snedecor polynomials; Method of moments; Pearson's sample correlation coefficient; Transition density
Sažetak
We consider the problem of parameter estimation for an ergodic diffusion with Fisher-Snedecor invariant distribution, to be called Fisher- Snedecor diffusion. We propose moments based estimators of unknown parameters, based on both discrete and continuous observations, and prove their consistency and asymptotic normality. The explicit form of the asymptotic covariance matrix is determined by using the properties of eigenfunctions (Fisher-Snedecor polynomials) of the corresponding Sturm-Liouville operator.
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:
- Current Contents Connect (CCC)
- Web of Science Core Collection (WoSCC)
- Science Citation Index Expanded (SCI-EXP)
- SCI-EXP, SSCI i/ili A&HCI
- Scopus
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