Test

, Volume 10, Issue 2, pp 357–373

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

Authors

    • Departmento de Estadística e Investigación OperativaUniversidad de Granada
  • Patrica Román
    • Departmento de Estadística e Investigación OperativaUniversidad de Granada
  • Francisco Torres
    • Departmento de Estadística e Investigación OperativaUniversidad de Granada
Article

DOI: 10.1007/BF02595702

Cite this article as:
Gutiérrez, R., Román, P. & Torres, F. Test (2001) 10: 357. doi:10.1007/BF02595702

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 estimationrelative efficiency

AMS subject classification

60J6062M05

Copyright information

© Sociedad Española de Estadistica e Investigacion Operativa 2001