engleski

Statistical inference for Student diffusion process

We consider the problem of parameter estimation for an ergodic diffusion with symmetric scaled Student invariant distribution. Spectral representation of transition density of such a Markov process is given in terms of a finite sum over the discrete spectrum and an integral over the essential spectrum of the negative infinitesimal generator of Student diffusion. Consistency and asymptotic normality of proposed estimators are presented. Based on the Stein equation for Student diffusion and Routh- Romanovski polynomials, the hypothesis testing procedure is considered.

Method of moments; Pearson equation; Routh-Romanovski polynomials; Stein equation; Student diffusion.

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