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Hypothesis testing for Fisher-Snedecor diffusion

Avram, F., Leonenko, Nikolai N. 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: 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: 04 Jun 2017 03:57
URI: http://orca.cf.ac.uk/id/eprint/29559

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