The Pearson diffusions: A class of statistically tractable diffusion processes

Scandinavian Journal of Statistics

Volumn 35, Issue 3, 2008, Pages 438-465

  Forman, Julie Lyng ^a   SØrensen, Michael ^a  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Eigenfunction; Ergodic diffusion; Integrated diffusion; Likelihood inference; Martingale estimating function; Mixing; Optimal estimating function; Pearson system; Prediction based estimating function; Quasi likelihood; Spectral methods

Indexed keywords

EID: 50249097592     PISSN: 03036898     EISSN: 14679469     Source Type: Journal    
DOI: 10.1111/j.1467-9469.2007.00592.x     Document Type: Article

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