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On Asymptotically Distribution Free Tests with Parametric Hypothesis for Ergodic Diffusion Processes
Cramer-von Mises tests ergodic diffusion process goodness of fit test asymptotically distribution free
2013/6/14
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 coe...
On Asymptotically Distribution Free Tests with Parametric Hypothesis for Ergodic Diffusion Processes
Cramer-von Mises tests ergodic diffusion process goodness of fit test asymptotically distribution free
2013/6/14
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 coe...
Adaptive LASSO-type estimation for ergodic diffusion processes
discretely observed diffusion processes model selection oracle proper-ties random fields stochastic differential equations
2010/3/10
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...
On the Goodness-of-Fit Testing for Ergodic Diffusion Processes
Cramer-von Mises type tests diffusion process goodness of fit hypotheses testing ergodic diffusion
2010/3/19
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 ...
On Regular and Singular Estimation for Ergodic Diffusion
Asymptotic properties maximum likelihood estimators misspecified misspecified models non identifiable model regularity conditions singular estimation problem
2009/3/5
The asymptotic properties of the maximum likelihood and bayesian estimators of finite dimensional parameters of any statistical model depend strongly on the regularity conditions. It is well-known tha...
On Invariant Density Estimation for Ergodic Diffusion Processes
ergodic diffusion density estimation large sample theory efficient estimation
2009/2/23
We present a review of several results concerning invariant density estimation by observations of ergodic diffusion process and some related problems. In every problem we propose a lower minimax bound...
Goodness of fit test for ergodic diffusion processes
consistent test empirical process asymptotically distributionfree tests
2010/4/26
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 stat...