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Statistical inference for reciprocal gamma diffusion process

Leonenko, Nikolai N. ORCID: and Šuvak, N. 2010. Statistical inference for reciprocal gamma diffusion process. Journal of Statistical Planning and Inference 140 (1) , pp. 30-51. 10.1016/j.jspi.2009.06.009

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We consider the problem of parameter estimation for an ergodic diffusion with reciprocal gamma invariant distribution. Spectral decomposition of the transition density of such a Markov process is presented in terms of a finite number of discrete eigenfunctions (Bessel polynomials) and eigenfunctions related to a continuous part of the spectrum of the negative infinitesimal generator of reciprocal gamma diffusion. Consistency and asymptotical normality of proposed estimators are presented. Based on the Stein equation for reciprocal gamma diffusion and Bessel polynomials, the hypothesis testing procedure is considered.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Subjects: Q Science > QA Mathematics
Uncontrolled Keywords: Asymptotic normality; Bessel polynomials; Consistency; Heavy-tailed distribution; Martingale estimation equation; Method of moments; Pearson equation; Reciprocal gamma distribution; Reciprocal gamma diffusion; Stationary distribution; Stein equation; Stochastic differential equation
Publisher: Elsevier
ISSN: 0378-3758
Last Modified: 18 Oct 2022 13:27

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