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