Statistical Inference for Student Diffusion Process
From MaRDI portal
Publication:3068099
DOI10.1080/07362994.2010.515476zbMath1233.62150MaRDI 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
62M15: Inference from stochastic processes and spectral analysis
62M05: Markov processes: estimation; hidden Markov models
60J60: Diffusion processes
62M02: Markov processes: hypothesis testing
Related Items
A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback, Student'stVector Random Fields with Power-Law and Log-Law Decaying Direct and Cross Covariances, Parameter estimation for Fisher–Snedecor diffusion, Spectral representation of transition density of Fisher–Snedecor diffusion, Correlation structure of fractional Pearson diffusions, Detecting multifractal stochastic processes under heavy-tailed effects, Hypothesis testing for Fisher-Snedecor diffusion, Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology, Variable bandwidth local maximum likelihood type estimation for diffusion processes, Parameters of stochastic models for electroencephalogram data as biomarkers for child's neurodevelopment after cerebral malaria, Time-non-local Pearson diffusions, Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes, Parameter estimation for non-stationary Fisher-Snedecor diffusion, Heavy-tailed fractional Pearson diffusions, Ergodicity and mixing bounds for the Fisher-Snedecor diffusion, Fractional Pearson diffusions, Asymptotic properties of the partition function and applications in tail index inference of heavy-tailed data
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Testing normality: a GMM approach
- Statistical inference for reciprocal gamma diffusion process
- Stein's method for diffusion approximations
- Statistical inference for ergodic diffusion processes.
- Stochastic processes and orthogonal polynomials
- Laplace and the origin of the Ornstein-Uhlenbeck process
- On a class of minimum contrast estimators for fractional stochastic processes and fields
- Connections between Romanovski and other polynomials
- Moment estimation for ergodic diffusion processes
- On the Whittle estimators for some classes of continuous-parameter random processes and fields
- The special functions and their approximations. Vol. I, II
- Approximation Theorems of Mathematical Statistics
- Series Expansions for the First Passage Distribution of Wong–Pearson Jump-Diffusions
- Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
- Einordnung der Polynome von Romanovski-Bessel in das Askey-Tableau
- THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
- A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback
- Three Finite Classes of Hypergeometric Orthogonal Polynomials and Their Application in Functions Approximation
- Classical orthogonal polynomials with weight function ((ax + b)2 + (cx + d)2)−pexp(qArctg((ax + b)/(cx + d))),x ∈ (−∞, ∞) and a generalization of T and F distributions
- Two classes of special functions using Fourier transforms of some finite classes of classical orthogonal polynomials
- Spectral Expansions for Asian (Average Price) Options
- The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
- Spectral representation of transition density of Fisher–Snedecor diffusion
- PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
- Student processes
- Stochastic volatility models as hidden Markov models and statistical applications