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  • Search: subject:"diffusion processes with jumps"
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Year of publication
Subject
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Ito processes 2 diffusion processes with jumps 2 generalized likelihood ratio test 2 parametric hypotheses testing 2 power of the test 2 Estimation theory 1 Schätztheorie 1 Statistical test 1 Statistical theory 1 Statistische Methodenlehre 1 Statistischer Test 1 Stochastic process 1 Stochastischer Prozess 1 phi-divergences 1 φ-divergences 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 1 Undetermined 1
Author
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De Gregorio, Alessandro 1 Gregorio, Alessandro De 1 Iacus, Stefano 1 Iacus, Stefano Maria 1
Institution
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Dipartimento di Economia, Management e Metodi Quantitativi (DEMM), Università degli Studi di Milano 1
Published in...
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UNIMI - Research Papers in Economics, Business, and Statistics 1 Working papers / Università degli Studi di Milano, Dipartimento di Scienze Economiche, Aziendali e Statistiche 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Pseudo phi-divergence test statistics and multidimensional Ito processes
De Gregorio, Alessandro; Iacus, Stefano Maria - 2009
Persistent link: https://www.econbiz.de/10011751962
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Pseudo phi-divergence test statistics and multidimensional Ito processes
Gregorio, Alessandro De; Iacus, Stefano - Dipartimento di Economia, Management e Metodi … - 2009
We consider parametric hypotheses testing for multidimensional It\^o processes, possibly with jumps, observed at discrete time. To this aim, we propose the whole class of pseudo $\phi$-divergence test statistics, which include as a special case the well-known likelihood ratio test but also many...
Persistent link: https://www.econbiz.de/10009324421
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