Hypothesis testing for Fisher-Snedecor diffusion

Avram, F., Leonenko, Nikolai N. ORCID: https://orcid.org/0000-0003-1932-4091 and Suvak, N. 2012. Hypothesis testing for Fisher-Snedecor diffusion. Journal of Statistical Planning and Inference 142 (8) , pp. 2308-2321. 10.1016/j.jspi.2012.02.055

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Abstract

We consider the problem of testing the hypothesis 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.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Schools > Mathematics
Subjects:	Q Science > QA Mathematics
Uncontrolled Keywords:	Diffusion process; Fisher–Snedecor polynomials; Generalized method of moments; Hansen–Scheinkman moment condition; Stein equation; Transition density
Publisher:	Elsevier
ISSN:	0378-3758
Last Modified:	20 Oct 2022 08:46
URI:	https://orca.cardiff.ac.uk/id/eprint/29559

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