Hypothesis testing for Fisher-Snedecor diffusion

DOI10.1016/J.JSPI.2012.02.055zbMATH Open1244.62118OpenAlexW2029394756MaRDI QIDQ433748FDOQ433748

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

Publication date: 6 July 2012

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.2012.02.055

Recommendations

• Parameter estimation for Fisher-Snedecor diffusion
• Parameter estimation for non-stationary Fisher-Snedecor diffusion
• On asymptotically distribution free tests with parametric hypothesis for ergodic diffusion processes
• On the goodness-of-fit testing for ergodic diffusion processes
• Ergodicity and mixing bounds for the Fisher-Snedecor diffusion

zbMATH Keywords

generalized method of momentsStein equationtransition densityFisher-Snedecor polynomialsHansen-Scheinkman moment condition

Mathematics Subject Classification ID

Markov processes: hypothesis testing (62M02) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

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• The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
• Parameter estimation for Fisher–Snedecor diffusion
• Ergodicity and mixing bounds for the Fisher-Snedecor diffusion
• Orthogonal polynomials in Stein's method

Cited In (6)

• Heavy-tailed fractional Pearson diffusions
• Spectral representation of transition density of Fisher–Snedecor diffusion
• 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
• Data analysis and statistical estimation for time series: improving presentation and interpretation

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