Article Dans Une Revue Journal of Statistical Planning and Inference Année : 2012

Hypothesis testing for Fisher-Snedecor diffusion

N.N. Leonenko
  • Fonction : Auteur
N. Šuvak
  • Fonction : Auteur

Résumé

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. © 2012 Elsevier B.V..

Dates et versions

hal-00865052 , version 1 (23-09-2013)

Identifiants

Citer

Florin Avram, N.N. Leonenko, N. Šuvak. Hypothesis testing for Fisher-Snedecor diffusion. Journal of Statistical Planning and Inference, 2012, 142 (8), pp.2308-2321. ⟨10.1016/j.jspi.2012.02.055⟩. ⟨hal-00865052⟩
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