Naslov
Parameter estimation for reciprocal gamma Ornstein-Uhlenbeck type processes

Autori
Leonenko, Nikolai ; Sakhno, Ludmila ; Šuvak, Nenad

Izvornik
Theory of probability and mathematical statistics (0094-9000) 86 (2012); 121-138

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Ornstein–Uhlenbeck type process; reciprocal gamma distribution; infinite divisibility; self-decomposability; parameter estimation; method of moments; minimum contrast method; Ibragimov functionals; Whittle functionals

Sažetak
We consider parameter estimation for a process of Ornstein–Uhlenbeck type with reciprocal gamma marginal distribution, to be called reciprocal gamma Ornstein–Uhlenbeck (RGOU) process. We derive minimum contrast estimators of unknown parameters based on both the discrete and the continuous observations from the process as well as moments based estimators based on discrete observations. We prove that proposed estimators are consistent and asymptotically normal. The explicit forms of the asymptotic covariance matrices are determined by using the higher order spectral densities and cumulants of the RGOU process.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Ekonomija

POVEZANOST RADA