Statistical inference for reciprocal gamma diffusion process

DOI10.1016/j.jspi.2009.06.009zbMath1177.62101OpenAlexW2147476821MaRDI QIDQ1036702

Nikolai N. Leonenko, Nenad Šuvak

Publication date: 13 November 2009

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.2009.06.009

zbMATH Keywords

stochastic differential equationconsistencyasymptotic normalityheavy-tailed distributionstationary distributionStein equationmethod of momentsBessel polynomialsPearson equationmartingale estimation equationreciprocal gamma diffusionreciprocal gamma distribution

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Related Items (17)

Correlation structure of fractional Pearson diffusions ⋮ Heavy-tailed fractional Pearson diffusions ⋮ Hypothesis testing for Fisher-Snedecor diffusion ⋮ Asymptotics for time-changed diffusions ⋮ Ergodicity and mixing bounds for the Fisher-Snedecor diffusion ⋮ Variable bandwidth local maximum likelihood type estimation for diffusion processes ⋮ Fractional Pearson diffusions ⋮ Parameter estimation for non-stationary Fisher-Snedecor diffusion ⋮ Student-like models for risky asset with dependence ⋮ Parameter estimation for Fisher–Snedecor diffusion ⋮ Spectral representation of transition density of Fisher–Snedecor diffusion ⋮ Continuous random walks and fractional powers of operators ⋮ Time-non-local Pearson diffusions ⋮ Statistical Inference for Student Diffusion Process ⋮ A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics ⋮ Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes ⋮ Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology

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