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Parameter estimation for Fisher–Snedecor diffusion

Avram, F., Leonenko, Nikolai N. and Šuvak, N. 2011. Parameter estimation for Fisher–Snedecor diffusion. Statistics 45 (1) , pp. 27-42. 10.1080/02331888.2010.541249

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Abstract

We consider the problem of parameter estimation for an ergodic diffusion with Fisher–Snedecor invariant distribution, to be called Fisher–Snedecor diffusion. We propose moments-based estimators of unknown parameters, based on both discrete and continuous observations, and prove their consistency and asymptotic normality. The explicit form of the asymptotic covariance matrix is determined by using the properties of eigenfunctions (Fisher–Snedecor polynomials) of the corresponding Sturm–Liouville operator.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Subjects: Q Science > QA Mathematics
Uncontrolled Keywords: Fisher–Snedecor polynomials, method of moments, Pearson's sample correlation coefficient, transition density
Publisher: Taylor and Francis
ISSN: 0233-1888
Last Modified: 04 Jun 2017 02:55
URI: http://orca-mwe.cf.ac.uk/id/eprint/13895

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