IDEAS home Printed from https://ideas.repec.org/p/mil/wpdepa/2000-02.html
   My bibliography  Save this paper

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

    Download full text from publisher

    File URL: http://wp.demm.unimi.it/files/wp/2000/DEMM-2000_002wp.pdf
    Download Restriction: no
    ---><---

    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.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Stefano Iacus, 1999. "Efficient Estimation of Dynamical systems," Departmental Working Papers 1999-03, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    2. Yusuke Kaino & Masayuki Uchida, 2018. "Hybrid estimators for small diffusion processes based on reduced data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 81(7), pages 745-773, October.
    3. 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.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mil:wpdepa:2000-02. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: DEMM Working Papers (email available below). General contact details of provider: https://edirc.repec.org/data/damilit.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.