Parameter estimation for Fisher–Snedecor diffusion

DOI10.1080/02331888.2010.541249zbMath1283.60066OpenAlexW2056067450MaRDI QIDQ5402577

Florin Avram, Nenad Šuvak, Nikolai N. Leonenko

Publication date: 14 March 2014

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2010.541249

zbMATH Keywords

transition densitymethod of momentsFisher-Snedecor polynomialsPearson's sample correlation coefficient

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Related Items (9)

Correlation structure of fractional Pearson diffusions ⋮ Heavy-tailed fractional Pearson diffusions ⋮ Hypothesis testing for Fisher-Snedecor diffusion ⋮ Ergodicity and mixing bounds for the Fisher-Snedecor diffusion ⋮ Fractional Pearson diffusions ⋮ Parameter estimation for non-stationary Fisher-Snedecor diffusion ⋮ Spectral representation of transition density of Fisher–Snedecor diffusion ⋮ Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes ⋮ Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology

Cites Work

• Statistical inference for reciprocal gamma diffusion process
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• Moment estimation for ergodic diffusion processes
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• Sum of the sample autocorrelation function
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• Elementary Stochastic Calculus, with Finance in View
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
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