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Semiparametric hypotheses testing for dynamical system with small noise

Author

Listed:
  • Stefano Iacus
  • Yu. A. Kutoyants

Abstract

A problem of hypothesis testing is considered for a model of diffusion process with division coefficient 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.

Suggested Citation

  • Stefano Iacus & Yu. A. Kutoyants, 2000. "Semiparametric hypotheses testing for dynamical system with small noise," Departmental Working Papers 2000-02, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
  • Handle: RePEc:mil:wpdepa:2000-02
    as

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    File URL: http://wp.demm.unimi.it/files/wp/2000/DEMM-2000_002wp.pdf
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    References listed on IDEAS

    as
    1. Stefano Iacus, 1997. "Semiparametric estimation of a functional of the drift coefficient of a dynamical system with small noise," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 6(2), pages 161-176, August.
    2. 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.
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