Parameter estimation for Fisher-Snedecor diffusion

DOI10.1080/02331888.2010.541249MaRDI QIDQ5402577zbMATH OpenOpenAlexFDO

Authors F. Avram, Nikolai N. Leonenko, N. Šuvak

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

method of momentstransition densityFisher-Snedecor polynomialsPearson's sample correlation coefficient

Mathematics Subject Classification ID

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

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Cited in

(11)

• Heavy-tailed fractional Pearson diffusions
• Correlation structure of fractional Pearson diffusions
• Hypothesis testing for Fisher-Snedecor diffusion
• Parametric inference for stochastic differential equations: a smooth and match approach
• Statistical inference for reciprocal gamma diffusion process
• Spectral representation of transition density of Fisher–Snedecor diffusion
• Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes
• Parameter estimation for non-stationary Fisher-Snedecor diffusion
• Ergodicity and mixing bounds for the Fisher-Snedecor diffusion
• Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology
• Fractional Pearson diffusions

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