کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1150809 1489806 2016 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Sequential testing of hypotheses about drift for Gaussian diffusions
ترجمه فارسی عنوان
تست متوالی از فرضیه‌ها در مورد رانش برای اشاعه گاوسی
کلمات کلیدی
فرآیند وینر؛ بخش تصادفی متقارن؛ روش ترتیبی؛ ITO انتگرال؛ شرط؛ آزمون فرضیه
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی

In statistical inference on the drift parameter θθ in the process Xt=θa(t)+∫0tb(s)dWs, where a(t)a(t) and b(t)b(t) are known, deterministic functions, there is known a large number of options how to do it. We may, for example, base this inference on the differences between the observed values of the process at discrete times and their normality. Although such methods are very simple, it turns out that it is more appropriate to use sequential methods. For the hypotheses testing about the drift parameter θθ, it is more proper to standardize the observed process and to use sequential methods based on the first exit time of the observed process of a pre-specified interval until some given time. These methods can be generalized to the case of random part being a symmetric Itô integral or continuous symmetric martingale.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistical Methodology - Volume 33, December 2016, Pages 14–30
نویسندگان
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