Academic
Publications
Statistical inference for reciprocal gamma diffusion process

Statistical inference for reciprocal gamma diffusion process,10.1016/j.jspi.2009.06.009,Journal of Statistical Planning and Inference,N. N. Leonenko,N

Statistical inference for reciprocal gamma diffusion process   (Citations: 3)
BibTex | RIS | RefWorks Download
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 number of discrete eigenfunctions (Bessel polynomials) and eigenfunctions related to a continuous part of the 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.
Cumulative Annual
View Publication
The following links allow you to view full publications. These links are maintained by other sources not affiliated with Microsoft Academic Search.
Sort by: