Statistical Inference for Student Diffusion Process

DOI10.1080/07362994.2010.515476MaRDI QIDQ3068099zbMATH OpenOpenAlexFDO

Authors Nikolai N. Leonenko, N. 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

zbMATH Keywords

method of momentsStein equationPearson equationRouth-Romanovski polynomials

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Markov processes: hypothesis testing (62M02) Diffusion processes (60J60) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(18)

• Heavy-tailed fractional Pearson diffusions
• Correlation structure of fractional Pearson diffusions
• Hypothesis testing for Fisher-Snedecor diffusion
• Asymptotic properties of the partition function and applications in tail index inference of heavy-tailed data
• Student's t vector random fields with power-law and log-law decaying direct and cross covariances
• Time-non-local Pearson diffusions
• Statistical inference for reciprocal gamma diffusion process
• Spectral representation of transition density of Fisher–Snedecor diffusion
• Detecting multifractal stochastic processes under heavy-tailed effects
• Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes
• Parameter estimation for non-stationary Fisher-Snedecor diffusion
• A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback
• Ergodicity and mixing bounds for the Fisher-Snedecor diffusion
• Approximation of heavy-tailed fractional Pearson diffusions in Skorokhod topology
• Parameter estimation for Fisher-Snedecor diffusion
• Variable bandwidth local maximum likelihood type estimation for diffusion processes
• Fractional Pearson diffusions
• Parameters of stochastic models for electroencephalogram data as biomarkers for child's neurodevelopment after cerebral malaria

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