Hypothesis testing for Fisher-Snedecor diffusion (CROSBI ID 184000)
Prilog u časopisu | izvorni znanstveni rad | međunarodna recenzija
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