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

• Autores: Ramón Gutiérrez, Francisco Torres, Patricia Román Román
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 10, Nº. 2, 2001, págs. 357-373
• Idioma: inglés
• DOI: 10.1007/bf02595702
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• Resumen

  • In this paper we consider, for the univariate lognormal diffusion process with exogenous factors, the inference on 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