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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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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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Keywords: minimax test di usion processes contiguous hypotheses.

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References listed on IDEAS
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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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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Silvia Pezzini & Robert MacCulloch, 2003. "The role of freedom, growth and religion in the taste for revolution," Departemental Working Papers 2003-08, Department of Economics University of Milan Italy. [Downloadable!]
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  2. Stefano Iacus, 2001. "Statistical analysis of the inhomogeneous telegrapher's process," Departemental Working Papers 2001-02, Department of Economics University of Milan Italy. [Downloadable!]
  3. Giovanna Nicolini, 2001. "A method to define strata boundaries," Departemental Working Papers 2001-01, Department of Economics University of Milan Italy. [Downloadable!]
  4. Massimo Florio & Katiuscia Manzoni, 2002. "The abnormal returns of UK privatisations: from underpricing tooutperformance," Departemental Working Papers 2002-23, Department of Economics University of Milan Italy. [Downloadable!]
  5. Massimo Florio, 2001. "The welfare impact of a privatisation: the British Telecom case-history," Departemental Working Papers 2001-08, Department of Economics University of Milan Italy. [Downloadable!]
  6. Massimo FLORIO & Silvia VIGNETTI, 2003. "Cost-benefit analysis of infrastructure projects in an enlarged European Union: an incentive-oriented approach," Departemental Working Papers 2003-13, Department of Economics University of Milan Italy. [Downloadable!]
  7. Daniele Checchi & Valentino Dardanoni, 2002. "Mobility comparisons: does using different measures matter?," Departemental Working Papers 2002-15, Department of Economics University of Milan Italy. [Downloadable!]
  8. Giuseppe Bognetti & Barbara Antonioli, 2001. "Modelli di offerta dei servizi pubblici locali in Europa," Departemental Working Papers 2001-07, Department of Economics University of Milan Italy. [Downloadable!]
  9. Giovanna Nicolini & Anna Lo Presti, 2003. "Combined estimators for complex sampling," Departemental Working Papers 2003-12, Department of Economics University of Milan Italy. [Downloadable!]
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