Cardiff University | Prifysgol Caerdydd ORCA
Online Research @ Cardiff 
WelshClear Cookie - decide language by browser settings

Statistical Inference for Student Diffusion Process

Leonenko, Nikolai N. ORCID: and Šuvak, N. 2010. Statistical Inference for Student Diffusion Process. Stochastic Analysis and Applications 28 (6) , pp. 972-1002. 10.1080/07362994.2010.515476

Full text not available from this repository.


We consider the problem of parameter estimation for an ergodic diffusion with the symmetric scaled Student invariant distribution, where the spectral representation of the transition density is given in terms of the finite number of polynomial eigenfunctions (Routh–Romanovski polynomials) and absolutely continuous spectrum of the negative infinitesimal generator of observed diffusion. We prove the consistency and asymptotic normality of the proposed estimators and, based on the Stein equation for Student diffusion, consider the statistical test for the Student distributional assumptions.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Subjects: Q Science > QA Mathematics
Uncontrolled Keywords: Method of moments, Pearson equation, Routh–Romanovski polynomials, Stein equation, Student diffusion
Publisher: Taylor and Francis
ISSN: 0736-2994
Last Modified: 18 Oct 2022 13:27

Citation Data

Cited 26 times in Scopus. View in Scopus. Powered By Scopus® Data

Actions (repository staff only)

Edit Item Edit Item