Hypothesis testing for Fisher-Snedecor diffusion

DOI10.1016/j.jspi.2012.02.055zbMath1244.62118OpenAlexW2029394756MaRDI QIDQ433748

Nikolai N. Leonenko, Nenad Šuvak, Florin Avram

Publication date: 6 July 2012

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2012.02.055

zbMATH Keywords

generalized method of momentstransition densityStein equationFisher-Snedecor polynomialsHansen-Scheinkman moment condition

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Markov processes: hypothesis testing (62M02)

Related Items (6)

Heavy-tailed fractional Pearson diffusions ⋮ Data analysis and statistical estimation for time series: improving presentation and interpretation ⋮ Ergodicity and mixing bounds for the Fisher-Snedecor diffusion ⋮ Parameter estimation for non-stationary Fisher-Snedecor diffusion ⋮ Spectral representation of transition density of Fisher–Snedecor diffusion ⋮ Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology

Cites Work

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• Estimation for the discretely observed telegraph process
• Parameter estimation for Fisher–Snedecor diffusion
• Orthogonal polynomials in Stein's method
• Stochastic volatility models as hidden Markov models and statistical applications
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