Parameter estimation for reciprocal gamma and Student diffusion processes (CROSBI ID 554409)
Prilog sa skupa u zborniku | izvorni znanstveni rad
Podaci o odgovornosti
Leonenko, Nikolai ; Šuvak, Nenad
engleski
Parameter estimation for reciprocal gamma and Student diffusion processes
We present method of moments estimators for parameters of stationary reciprocal gamma and Student diffusion processes. We prove their consistency and asymptotic normality and discuss the calculation of explicit forms of corresponding limiting covariance matrices.
Asymptotic normality; Consistency; Method of moments; Orthogonal polynomials; Spectral representation of transition density
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Podaci o prilogu
195-199.
2009.
objavljeno
Podaci o matičnoj publikaciji
Proceedings of the 16th European Young Statisticians Meeting
Bukurešt:
Podaci o skupu
16th European Young Statisticians Meeting
predavanje
24.08.2009-28.08.2009
Bukurešt, Rumunjska