Statistical inference for reciprocal gamma diffusion process
Statistical inference for reciprocal gamma diffusion process
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DOI：
10.1016/j.jspi.2009.06.009
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发表时间：
2010-01-01
影响因子：
0.9
通讯作者：
Suvak, N.
中科院分区：
文献类型：
--
作者：
Leonenko, N. N.;Suvak, N.
考虑具有倒数伽马不变分布的遍历扩散的参数估计问题，利用有限个离散的特征函数(贝塞尔多项式)和与倒数伽马扩散的负无穷小生成元谱的连续部分有关的特征函数，给出了这类马尔可夫过程转移密度的谱分解.给出了所提出估计量的相合性和渐近正态性质。基于倒数伽马扩散的Stein方程和贝塞尔多项式，考虑了假设检验过程。(C)2009爱思唯尔B.V.保留所有权利。
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. (C) 2009 Elsevier B.V. All rights reserved.