Hypothesis testing for Fisher-Snedecor diffusion

DOI10.1016/J.JSPI.2012.02.055MaRDI QIDQ433748zbMATH OpenOpenAlexFDO

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

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

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)

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

Cites work

• scientific article; zbMATH DE number 3719745 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3447884 (Why is no real title available?)
• Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
• Ergodicity and mixing bounds for the Fisher-Snedecor diffusion
• Estimation for the discretely observed telegraph process
• Mixing: Properties and examples
• Orthogonal polynomials in Stein's method
• Parameter estimation for Fisher-Snedecor diffusion
• Series Expansions for the First Passage Distribution of Wong–Pearson Jump-Diffusions
• Statistical Inference for Student Diffusion Process
• Statistical inference for reciprocal gamma diffusion process
• Stein's method for diffusion approximations
• Stochastic processes and orthogonal polynomials
• Stochastic volatility models as hidden Markov models and statistical applications
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• Testing normality: a GMM approach
• The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
• The special functions and their approximations. Vol. I, II

Cited in

(8)

• Heavy-tailed fractional Pearson diffusions
• Ergodicity and mixing bounds for the Fisher-Snedecor diffusion
• Parameter estimation for non-stationary Fisher-Snedecor diffusion
• Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology
• Statistical inference for reciprocal gamma diffusion process
• Spectral representation of transition density of Fisher–Snedecor diffusion
• Parameter estimation for Fisher-Snedecor diffusion
• Data analysis and statistical estimation for time series: improving presentation and interpretation

This page was built for publication: Hypothesis testing for Fisher-Snedecor diffusion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q433748)