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Efficient Density Estimation for Ergodic Diffusion Processes

Kutoyants, Yu. - In: Statistical Inference for Stochastic Processes 1 (1998) 2, pp. 131-155

Persistent link: https://www.econbiz.de/10005391490

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

We consider the problem of the construction of the asymptotically distribution free test by the observations of ergodic diffusion process. It is supposed that under the basic hypothesis the trend coefficient depends on a finite-dimensional parameter and we study the Cramér-von Mises type...

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

On a Problem of Statistical Inference in Null Recurrent Diffusions

Höpfner, R.; Kutoyants, Yu. - In: Statistical Inference for Stochastic Processes 6 (2003) 1, pp. 25-42

Persistent link: https://www.econbiz.de/10005184592

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

Asymptotically Efficient Estimation of the Derivative of the Invariant Density

Dalalyan, Arnak; Kutoyants, Yury - In: Statistical Inference for Stochastic Processes 6 (2003) 1, pp. 89-107

Persistent link: https://www.econbiz.de/10005616016

On parameter estimation of threshold autoregressive models

Chan, Ngai; Kutoyants, Yury - In: Statistical Inference for Stochastic Processes 15 (2012) 1, pp. 81-104

Persistent link: https://www.econbiz.de/10010539196

Estimating discontinuous periodic signals in a time inhomogeneous diffusion

Höpfner, Reinhard; Kutoyants, Yury - In: Statistical Inference for Stochastic Processes 13 (2010) 3, pp. 193-230

Persistent link: https://www.econbiz.de/10008775919

Sequential Identification of Linear Dynamic Systems with Memory

Küchler, Uwe; Vasiliev, Vyacheslav - In: Statistical Inference for Stochastic Processes 8 (2005) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10005391506

On large deviations in testing Ornstein–Uhlenbeck-type models

Gapeev, Pavel; Küchler, Uwe - In: Statistical Inference for Stochastic Processes 11 (2008) 2, pp. 143-155

Persistent link: https://www.econbiz.de/10005184584

On estimation of delay location

Gushchin, Alexander; Küchler, Uwe - In: Statistical Inference for Stochastic Processes 14 (2011) 3, pp. 273-305

Persistent link: https://www.econbiz.de/10009325265