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Statistical inference for inverse gamma diffusion process (CROSBI ID 546855)

Prilog sa skupa u zborniku | sažetak izlaganja sa skupa

Leonenko, Nikolai ; Šuvak, Nenad Statistical inference for inverse gamma diffusion process. 2008

Podaci o odgovornosti

Leonenko, Nikolai ; Šuvak, Nenad

engleski

Statistical inference for inverse gamma diffusion process

Stationary diffusion process with invariant marginal inverse gamma distribution is considered. The transition probability is represented as principal solution of corresponding Fokker-Planck equation. Its spectral decomposition in terms of eigenfunctions related to discrete part of the spectrum (i.e. Bessel polynomials) and eigenfunctions related to continuous part of the spectrum is represented. Statistical part includes method of moment estimation of unknown parameters of inverse gamma diffusion. Their consistency and asymptotic normality under mixing properties of corresponding process are analyzed. As conclusion, procedure based on Stein equation for testing inverse gamma distributional assumptions is presented.

Asymptotic normality; autocorrelation function; Bessel polynomials; consistency; inverse gamma distribution; heavy tailed distribution; mixing coefficient; method of moments; Pearson equation; spectral decomposition; Stein equation.

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Podaci o prilogu

2008.

objavljeno

Podaci o matičnoj publikaciji

Podaci o skupu

4th Croatian mathematical congress

poster

17.06.2008-20.06.2008

Osijek, Hrvatska

Povezanost rada

Matematika