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Parameter estimation for reciprocal gamma Ornstein-Uhlenbeck type processes (CROSBI ID 184001)

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Leonenko, Nikolai ; Sakhno, Ludmila ; Šuvak, Nenad Parameter estimation for reciprocal gamma Ornstein-Uhlenbeck type processes // Theory of probability and mathematical statistics, 86 (2012), 121-138

Podaci o odgovornosti

Leonenko, Nikolai ; Sakhno, Ludmila ; Šuvak, Nenad

engleski

Parameter estimation for reciprocal gamma Ornstein-Uhlenbeck type processes

We consider parameter estimation for a process of Ornstein–Uhlenbeck type with reciprocal gamma marginal distribution, to be called reciprocal gamma Ornstein–Uhlenbeck (RGOU) process. We derive minimum contrast estimators of unknown parameters based on both the discrete and the continuous observations from the process as well as moments based estimators based on discrete observations. We prove that proposed estimators are consistent and asymptotically normal. The explicit forms of the asymptotic covariance matrices are determined by using the higher order spectral densities and cumulants of the RGOU process.

Ornstein–Uhlenbeck type process; reciprocal gamma distribution; infinite divisibility; self-decomposability; parameter estimation; method of moments; minimum contrast method; Ibragimov functionals; Whittle functionals

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Podaci o izdanju

86

2012.

121-138

objavljeno

0094-9000

Povezanost rada

Ekonomija, Matematika

Indeksiranost