Related papers: Adaptive test for ergodic diffusions plus noise
We consider parametric tests for multidimensional ergodic diffusions based on high frequency data. We propose two-step testing method for diffusion parameters and drift parameters. To construct test statistics of the tests, we utilize the…
We research adaptive maximum likelihood-type estimation for an ergodic diffusion process where the observation is contaminated by noise. This methodology leads to the asymptotic independence of the estimators for the variance of observation…
We research adaptive maximum likelihood-type estimation for an ergodic diffusion process where the observation is contaminated by noise. This methodology leads to the asymptotic independence of the estimators for the variance of observation…
We consider adaptive maximum-likelihood-type estimators and adaptive Bayes-type ones for discretely observed ergodic diffusion processes with observation noise whose variance is constant. The quasi-likelihood functions for the diffusion and…
The aim of this paper is to introduce a new type of test statistic for simple null hypothesis on one-dimensional ergodic diffusion processes sampled at discrete times. We deal with a quasi-likelihood approach for stochastic differential…
We consider parametric estimation for ergodic diffusion processes with noisy sampled data based on the hybrid method, that is, the multi-step estimation with the initial Bayes type estimators. In order to select proper initial values for…
We consider the adaptive test for the parameter change in discretely observed ergodic diffusion processes based on the cusum test. Using two test statistics based on the two quasi-log likelihood functions of the diffusion parameter and the…
A subthreshold signal is transmitted through a channel and may be detected when some noise -- with known structure and proportional to some level -- is added to the data. There is an optimal noise level, called stochastic resonance, that…
We consider the goodness of fit testing problem for ergodic diffusion processes. The basic hypothesis is supposed to be simple. The diffusion coefficient is known and the alternatives are described by the different trend coefficients. We…
A problem of goodness-of-fit test for ergodic diffusion processes is presented. In the null hypothesis the drift of the diffusion is supposed to be in a parametric form with unknown shift parameter. Two Cramer-Von Mises type test statistics…
We consider the problem of the construction of the asymptotically distribution free test by the observations of ergodic diffusion process. It is supposedd that under the basic hypothesis the trend coefficient depends on the finite…
The LASSO is a widely used statistical methodology for simultaneous estimation and variable selection. In the last years, many authors analyzed this technique from a theoretical and applied point of view. We introduce and study the adaptive…
We consider parametric hypotheses testing for multidimensional ergodic diffusion processes observed at discrete time. We propose a family of test statistics, related to the so called $\phi$-divergence measures. By taking into account the…
In this work a method for statistical analysis of time series is proposed, which is used to obtain solutions to some classical problems of mathematical statistics under the only assumption that the process generating the data is stationary…
In this paper a robust version of the classical Wald test statistics for linear hypothesis in the logistic regression model is introduced and its properties are explored. We study the problem under the assumption of random covariates…
In testing of hypothesis the robustness of the tests is an important concern. Generally, the maximum likelihood based tests are most efficient under standard regularity conditions, but they are highly non-robust even under small deviations…
A goodness of fit test for the drift coefficient of an ergodic diffusion process is presented. The test is based on the score marked empirical process. The weak convergence of the proposed test statistic is studied under the null hypotheses…
Parametric hypothesis testing associated with two independent samples arises frequently in several applications in biology, medical sciences, epidemiology, reliability and many more. In this paper, we propose robust Wald-type tests for…
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…
We consider two problems of constructing of goodness of fit tests for ergodic diffusion processes. The first one is concerned with a composite basic hypothesis for a parametric class of diffusion processes, which includes the…