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Keywords
(9)
Asymptotic Normal
Invariant Distribution
Moment Condition
Parameter Estimation
Spectral Properties
Spectral Representation
Statistical Analysis
Statistical Test
Transition Density
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On spectral properties and statistical analysis of FisherSnedecor diffusion
On spectral properties and statistical analysis of FisherSnedecor diffusion,F. Avram,N. N. Leonenko,N. Suvak
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On spectral properties and statistical analysis of FisherSnedecor diffusion
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Citations: 1
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F. Avram
,
N. N. Leonenko
,
N. Suvak
We consider the problem of
parameter estimation
for an ergodic diffusion with FisherSnedecor invariant distribution, to be called FisherSnedecor diffusion. We compute the
spectral representation
of its transition density, which involves a finite number of discrete eigenfunctions (FisherSnedecor polynomials) as well as a continuous part. We propose moments based estimators (related to the FisherSnedecor polynomials) and prove their consistency and asymptotic normality. Furthermore, we propose a
statistical test
for the distributional assumptions on the marginal distribution of the FisherSnedecor diffusion, based on the
moment condition
derived from the corresponding Stein's equation.
Published in 2010.
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Citation Context
(1)
...The KP family contains specific diffusions that have recently been studied, such as those of Student and Fisher‐ Snedecor (see
Avram et al. 2010
for a detailed study of the KP family)...
...fulfilled, to obtain the existence and uniqueness of a strong solution (see
Avram et al. 2010, p. 6
). Consequently, there exists a separable, measurable and almost surely (a.s.) sample continuous diffusion process fxðtÞ; t 2½ t0; T�g which is the unique (a.s.) strong solution to Ito’s SDE Eq. 8 with infinitesimal moments (drift parameter and diffusion coefficient) given, respectively, by A1ðt; x Þ¼ hðt ...
R. Gutiérrez
,
et al.
Detection, modelling and estimation of nonlinear trends by using a no...
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Citations
(1)
Detection, modelling and estimation of nonlinear trends by using a nonhomogeneous Vasicek stochastic diffusion. Application to CO 2 emissions in Morocco
R. Gutiérrez
,
R. GutiérrezSánchez
,
A. Nafidi
,
A. Pascual
Journal:
Stochastic Environmental Research and Risk Assessment  STOCH ENVIRON RES RISK ASSESS
, pp. 111