Statistical Inference for Student Diffusion Process
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Publication:3068099
DOI10.1080/07362994.2010.515476zbMath1233.62150MaRDI QIDQ3068099
Nikolai N. Leonenko, Nenad Šuvak
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
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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, 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
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