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Hypothesis testing for Fisher-Snedecor diffusion (CROSBI ID 184000)

Prilog u časopisu | izvorni znanstveni rad | međunarodna recenzija

Avram, Florin ; Leonenko, Nikolai ; Šuvak, Nenad Hypothesis testing for Fisher-Snedecor diffusion // Journal of statistical planning and inference, 142 (2012), 8; 2308-2321. doi: 10.1016/j.jspi.2012.02.055

Podaci o odgovornosti

Avram, Florin ; Leonenko, Nikolai ; Šuvak, Nenad

engleski

Hypothesis testing for Fisher-Snedecor diffusion

We consider the problem of testing the hypothesis whether the random variable X_t, for fixed t grether that zero, on marginal distribution of ergodic diffusion with Fisher-Snedecor invariant distribution, to be called Fisher-Snedecor diffusion. We propose a GMM approach to testing this statistical hypothesis where the moment condition is based on eigenfunctions of the diffusion infinitesimal generator - Fisher-Snedecor polynomials. Statistical test is observed in two different settings: 1) for known values of parameters of the process ; 2) for consistent moment based estimators of parameters. Results are illustrated in a short simulation study.

Diffusion process; Fisher-Snedecor polynomials; Generalized method of moments; Hansen-Scheinkman moment condition; Stein equation; Transition density.

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Podaci o izdanju

142 (8)

2012.

2308-2321

objavljeno

0378-3758

10.1016/j.jspi.2012.02.055

Povezanost rada

Ekonomija, Matematika

Poveznice
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