Search Results - subject:"ergodic diffusion process"

On asymptotic distribution of parameter free tests for ergodic diffusion processes

Kutoyants, Yury - In: Statistical Inference for Stochastic Processes 17 (2014) 2, pp. 139-161

We consider two problems of constructing of goodness of fit tests for ergodic diffusion processes. The first one is concerned with a composite basic hypothesis for a parametric class of diffusion processes, which includes the Ornstein–Uhlenbeck and simple switching processes. In this case we...

Persistent link: https://www.econbiz.de/10010793918

On asymptotically distribution free tests with parametric hypothesis for ergodic diffusion processes

Kleptsyna, M.; Kutoyants, Yu. - In: Statistical Inference for Stochastic Processes 17 (2014) 3, pp. 295-319

diffusion process. It is supposed that under the basic hypothesis the trend coefficient depends on a finite …We consider the problem of the construction of the asymptotically distribution free test by the observations of ergodic …

Persistent link: https://www.econbiz.de/10010949409

On goodness-of-fit testing for ergodic diffusion process with shift parameter

Negri, Ilia; Zhou, Li - In: Statistical Inference for Stochastic Processes 17 (2014) 1, pp. 51-73

A problem of goodness-of-fit test for ergodic diffusion processes is presented. In the null hypothesis the drift of the diffusion is supposed to be in a parametric form with unknown shift parameter. Two Cramer–von Mises type test statistics are studied. The first test uses the local time...

Persistent link: https://www.econbiz.de/10010843770

On identification of the threshold diffusion processes

Kutoyants, Yury - In: Annals of the Institute of Statistical Mathematics 64 (2012) 2, pp. 383-413

Persistent link: https://www.econbiz.de/10010848668

Goodness of fit test for ergodic diffusions by tick time sample scheme

Negri, Ilia; Nishiyama, Yoichi - In: Statistical Inference for Stochastic Processes 13 (2010) 1, pp. 81-95

Persistent link: https://www.econbiz.de/10008533933

Test for parameter change in discretely observed diffusion processes

Song, Junmo; Lee, Sangyeol - In: Statistical Inference for Stochastic Processes 12 (2009) 2, pp. 165-183

Persistent link: https://www.econbiz.de/10005004374

Asymptotically Efficient Sequential Kernel Estimates of the Drift Coefficient in Ergodic Diffusion Processes

Galtchouk, L.; Pergamenshchikov, S. - In: Statistical Inference for Stochastic Processes 9 (2006) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10005616032

Stationary Distribution Function Estimation for Ergodic Diffusion Process

Negri, Ilia - In: Statistical Inference for Stochastic Processes 1 (1998) 1, pp. 61-84

Persistent link: https://www.econbiz.de/10005391497