Semiparametric hypotheses testing for dynamical system with small noise

A problem of hypothesis testing is considered for a model of diffusion process with diusion coecient tending to zero. A simple hypothesis and a semiparametric alternative are formulated in the terms of the values of some functional of nonperturbed trajectory of the dynamical system. The test proposed is locally asymptotically uniformly most powerful for a class of contiguous alternatives.

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Year of publication:	2000-01-01
Authors:	Iacus, Stefano ; Kutoyants, Yu. A.
Institutions:	Dipartimento di Economia, Management e Metodi Quantitativi (DEMM), Università degli Studi di Milano
Subject:	minimax test \| diusion processes \| contiguous hypotheses

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Extent:	application/pdf
Series:	Departmental Working Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005007393