Statistical Inference for Student Diffusion Process

DOI10.1080/07362994.2010.515476zbMath1233.62150OpenAlexW2168338997MaRDI QIDQ3068099

Nenad Šuvak, Nikolai N. Leonenko

Publication date: 13 January 2011

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2010.515476

zbMATH Keywords

Stein equationmethod of momentsPearson equationRouth-Romanovski polynomials

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02)

Related Items (17)

Correlation structure of fractional Pearson diffusions ⋮ Asymptotic properties of the partition function and applications in tail index inference of heavy-tailed data ⋮ Detecting multifractal stochastic processes under heavy-tailed effects ⋮ Heavy-tailed fractional Pearson diffusions ⋮ Hypothesis testing for Fisher-Snedecor diffusion ⋮ Ergodicity and mixing bounds for the Fisher-Snedecor diffusion ⋮ Variable bandwidth local maximum likelihood type estimation for diffusion processes ⋮ Fractional Pearson diffusions ⋮ Parameters of stochastic models for electroencephalogram data as biomarkers for child's neurodevelopment after cerebral malaria ⋮ Parameter estimation for non-stationary Fisher-Snedecor diffusion ⋮ Parameter estimation for Fisher–Snedecor diffusion ⋮ Spectral representation of transition density of Fisher–Snedecor diffusion ⋮ Student'stVector Random Fields with Power-Law and Log-Law Decaying Direct and Cross Covariances ⋮ A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback ⋮ Time-non-local Pearson diffusions ⋮ Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes ⋮ Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology

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