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

Full text not available from this repository.

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:	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

Citation Data

Cited 6 times in Scopus. View in Scopus. Powered By Scopus® Data

Actions (repository staff only)

Edit Item