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, Volume 10, Issue 2, pp 357–373 | Cite as

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

  • Ramón Gutiérrez
  • Patrica Román
  • Francisco Torres
Article

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 

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Copyright information

© Sociedad Española de Estadistica e Investigacion Operativa 2001

Authors and Affiliations

  • Ramón Gutiérrez
    • 1
  • Patrica Román
    • 1
  • Francisco Torres
    • 1
  1. 1.Departmento de Estadística e Investigación OperativaUniversidad de GranadaGranadaSpain

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