کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1149190 | 957867 | 2010 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Divergences test statistics for discretely observed diffusion processes
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper we propose the use of Ïâdivergences as test statistics to verify simple hypotheses about a one-dimensional parametric diffusion process dXt=b(Xt,α)dt+Ï(Xt,β),αâRp,βâRq,p,q>=1, from discrete observations {Xti,i=0,â¦,n} with ti=iÎn, i=0,1,â¦,n, under the asymptotic scheme Înâ0, nÎnââ and nÎn2â0. The class of Ïâdivergences is wide and includes several special members like Kullback-Leibler, Rényi, power and αâdivergences. We derive the asymptotic distribution of the test statistics based on the estimated Ïâdivergences. The asymptotic distribution depends on the regularity of the function Ï and in general it differs from the standard Ï2 distribution as in the i.i.d. case. Numerical analysis is used to show the small sample properties of the test statistics in terms of estimated level and power of the test.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 140, Issue 7, July 2010, Pages 1744-1753
Journal: Journal of Statistical Planning and Inference - Volume 140, Issue 7, July 2010, Pages 1744-1753
نویسندگان
Alessandro De Gregorio, Stefano M. Iacus,