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

Parameter estimation for Fisher–Snedecor diffusion

Avram, F., Leonenko, Nikolai N. ORCID: https://orcid.org/0000-0003-1932-4091 and Šuvak, N. 2011. Parameter estimation for Fisher–Snedecor diffusion. Statistics 45 (1) , pp. 27-42. 10.1080/02331888.2010.541249

Full text not available from this repository.

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: 18 Oct 2022 13:27
URI: https://orca.cardiff.ac.uk/id/eprint/13895

Citation Data

Cited 12 times in Scopus. View in Scopus. Powered By Scopus® Data

Actions (repository staff only)

Edit Item Edit Item