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Semiparametric hypotheses testing for dynamical system with small noise

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Author Info
Stefano Iacus ()
Yu. A. Kutoyants ()

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Abstract

A problem of hypothesis testing is considered for a model of diffusion process with di usion coecient tending to zero. A simple hypothesis and a semiparametric alternative are formulated in the terms of the values of some functional of nonperturbed trajectory of the dynamical system. The test proposed is locally asymptotically uniformly most powerful for a class of contiguous alternatives.

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Publisher Info
Paper provided by Department of Economics University of Milan Italy in its series Departemental Working Papers with number 2000-02.

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Date of creation: 01 Jan 2000
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Handle: RePEc:mil:wpdepa:2000-02

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Related research
Keywords: minimax test; di usion processes; contiguous hypotheses.;

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  1. Stefano Iacus, 2000. "Semiparametric Estimation of the State of a Dynamical System with Small Noise," Statistical Inference for Stochastic Processes, Springer, vol. 3(3), pages 277-288, October. [Downloadable!] (restricted)
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