Statistical Inference for Student Diffusion Process

Abstract

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.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 36 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.