Semiparametric Hypotheses Testing for Dynamical System with Small Noise

A problem of hypothesis testing is considered for a model of diffusion process with diffusion coefficient 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:	2004
Authors:	Iacus, Stefano Maria ; Kutoyants, Yu A.
Publisher:	[S.l.] : SSRN
Subject:	Statistischer Test \| Statistical test \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Schätztheorie \| Estimation theory

Extent:	1 Online-Ressource (15 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Mathematical Methods of Statistics, Vol. 10, No. 1, pp. 105-120, 2001
Classification:	C22 - Time-Series Models ; C24 - Truncated and Censored Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014068506