Inference on some parametric functions in the univeriate lognormal diffusion process with exogenous factors

被引：0
|
作者：
Ramón Gutiérrez
Patrica Román
Francisco Torres
机构：
[1] Universidad de Granada,Departmento de Estadística e Investigación Operativa
来源：
Test | 2001年 / 10卷
关键词：
Minimum variance unbiased estimation; relative efficiency; 60J60; 62M05;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper we consider, for the univariate lognormal diffusion process with exogenous factors, the inference for some parametric functions that include as particular cases the trend and the covariance function of the process. Concretely, we obtain the UMVU estimators of these functions and the efficiency of them relative to the corresponding ML estimators. Finally, we conclude with an application to a particular case of exogenous factor.
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收藏
页码：357 / 373
页数：16
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