On asymptotically distribution free tests with parametric hypothesis for ergodic diffusion processes
نویسندگان
چکیده
منابع مشابه
Asymptotically Optimal Sequential Tests for Nonhomogeneous Processes
It is shown that under certain conditions the matrix sequential probability ratio test (SPRT) and the combinations of \rejecting" SPRTs minimize all moments of the stopping time distribution in the problem of sequential testing of several simple hypotheses for nonhomogeneous processes when probabilities of errors tend to zero. We consider the general case of observation process with discrete or...
متن کاملErgodic control of diffusion processes
Results concerning existence and characterization of optimal controls for ergodic control of nondegenerate diffusion processes are described. Extensions to the general ‘controlled martingale problem’ are indicated, which cover in particular degenerate diffusions and some infinite dimensional problems. In conclusion, some related problems and open issues are discussed. Mathematics Subject Classi...
متن کاملMoment estimation for ergodic diffusion processes
We investigate the moment estimation for an ergodic diffusion process with unknown trend coefficient. We consider nonparametric and parametric estimation. In each case, we present a lower bound for the risk and then construct an asymptotically efficient estimator of the moment type functional or of a parameter which has a one-to-one correspondence to such a functional. Next, we clarify a higher...
متن کاملOn Modelling Long Term Stock Returns with Ergodic Diffusion Processes: Arbitrage and Arbitrage-Free Specifications
We investigate the arbitrage-free property of stock price models where the local martingale component is based on an ergodic diffusion with a specified stationary distribution. These models are particularly useful for long horizon asset-liability management as they allow the modelling of long term stock returns with heavy tail ergodic diffusions, with tractable, time homogeneous dynamics, and w...
متن کاملNon-parametric estimation of the coefficients of ergodic diffusion processes based on high-frequency data
The content of this chapter is directly inspired by Comte, Genon-Catalot, and Rozenholc (2006; 2007). We consider non-parametric estimation of the drift and diffusion coefficients of a one-dimensional diffusion process. The main assumption on the diffusion model is that it is ergodic and geometrically mixing. The sample path is assumed to be discretely observed with a small regular sampling int...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Statistical Inference for Stochastic Processes
سال: 2014
ISSN: 1387-0874,1572-9311
DOI: 10.1007/s11203-014-9096-3