Article

Test

, Volume 10, Issue 2, pp 357-373

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

  • Ramón GutiérrezAffiliated withDepartmento de Estadística e Investigación Operativa, Universidad de Granada Email author 
  • , Patrica RománAffiliated withDepartmento de Estadística e Investigación Operativa, Universidad de Granada
  • , Francisco TorresAffiliated withDepartmento de Estadística e Investigación Operativa, Universidad de Granada

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Abstract

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.

Key words

Minimum variance unbiased estimation relative efficiency

AMS subject classification

60J60 62M05