The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes

DOI10.1111/j.1467-9469.2007.00592.xzbMath1198.62078MaRDI QIDQ5324878

Michael Sørensen, Julie Lyng Forman

Publication date: 8 August 2009

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2007.00592.x

zbMATH Keywords

conditional moments; maximum likelihood; stationary solutions; generator eigenfunctions; optimal martingale estimating functions

Mathematics Subject Classification ID

62M05: Markov processes: estimation; hidden Markov models

60J60: Diffusion processes

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