Pretraga

Pretražite po imenu i prezimenu autora, mentora, urednika, prevoditelja

Napredna pretraga

Pregled bibliografske jedinice broj: 579916

Hypothesis testing for Fisher-Snedecor diffusion

Avram, Florin; Leonenko, Nikolai; Šuvak, Nenad
Hypothesis testing for Fisher-Snedecor diffusion // JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 142 (2012), 8; 2308-2321 doi:10.1016/j.jspi.2012.02.055 (međunarodna recenzija, članak, znanstveni)

CROSBI ID: 579916 Za ispravke kontaktirajte CROSBI podršku putem web obrasca

Naslov
Hypothesis testing for Fisher-Snedecor diffusion

Autori
Avram, Florin ; Leonenko, Nikolai ; Šuvak, Nenad

Izvornik
JOURNAL OF STATISTICAL PLANNING AND INFERENCE (0378-3758) 142 (2012), 8; 2308-2321

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Diffusion process; Fisher-Snedecor polynomials; Generalized method of moments; Hansen-Scheinkman moment condition; Stein equation; Transition density
(Diffusion process; Fisher-Snedecor polynomials; Generalized method of moments; Hansen-Scheinkman moment condition; Stein equation; Transition density.)

Sažetak
We consider the problem of testing the hypothesis whether the random variable X_t, for fixed t grether that zero, 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.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Ekonomija



POVEZANOST RADA

Projekti:
010-0101195-1048 - Modeli za ocjenu rizičnosti poslovanja poduzeća (Šarlija, Nataša, MZOS ) ( CroRIS)
235-2352818-1039 - Statistički aspekti problema procjene u nelinearnim parametarskim modelima (Benšić, Mirta, MZOS ) ( CroRIS)

Ustanove:
Ekonomski fakultet, Osijek,
Sveučilište u Osijeku, Odjel za matematiku

Profili:

Avatar Url Nenad Šuvak (autor)

Poveznice na cjeloviti tekst rada:

doi

Citiraj ovu publikaciju:

Avram, Florin; Leonenko, Nikolai; Šuvak, Nenad
Hypothesis testing for Fisher-Snedecor diffusion // JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 142 (2012), 8; 2308-2321 doi:10.1016/j.jspi.2012.02.055 (međunarodna recenzija, članak, znanstveni)
Avram, F., Leonenko, N. & Šuvak, N. (2012) Hypothesis testing for Fisher-Snedecor diffusion. JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 142 (8), 2308-2321 doi:10.1016/j.jspi.2012.02.055.
@article{article, author = {Avram, Florin and Leonenko, Nikolai and \v{S}uvak, Nenad}, year = {2012}, pages = {2308-2321}, DOI = {10.1016/j.jspi.2012.02.055}, keywords = {Diffusion process, Fisher-Snedecor polynomials, Generalized method of moments, Hansen-Scheinkman moment condition, Stein equation, Transition density}, journal = {JOURNAL OF STATISTICAL PLANNING AND INFERENCE}, doi = {10.1016/j.jspi.2012.02.055}, volume = {142}, number = {8}, issn = {0378-3758}, title = {Hypothesis testing for Fisher-Snedecor diffusion}, keyword = {Diffusion process, Fisher-Snedecor polynomials, Generalized method of moments, Hansen-Scheinkman moment condition, Stein equation, Transition density} }
@article{article, author = {Avram, Florin and Leonenko, Nikolai and \v{S}uvak, Nenad}, year = {2012}, pages = {2308-2321}, DOI = {10.1016/j.jspi.2012.02.055}, keywords = {Diffusion process, Fisher-Snedecor polynomials, Generalized method of moments, Hansen-Scheinkman moment condition, Stein equation, Transition density.}, journal = {JOURNAL OF STATISTICAL PLANNING AND INFERENCE}, doi = {10.1016/j.jspi.2012.02.055}, volume = {142}, number = {8}, issn = {0378-3758}, title = {Hypothesis testing for Fisher-Snedecor diffusion}, keyword = {Diffusion process, Fisher-Snedecor polynomials, Generalized method of moments, Hansen-Scheinkman moment condition, Stein equation, Transition density.} }

Časopis indeksira:


  • Web of Science Core Collection (WoSCC)
    • Science Citation Index Expanded (SCI-EXP)
    • SCI-EXP, SSCI i/ili A&HCI
  • Scopus

Citati:

    Altmetrijski pokazatelji:


    Podijeli:





    Contrast
    Increase Font
    Decrease Font
    Dyslexic Font
    CROSBI koristi kolačiće (cookies) kako bi poboljšao funkcionalnost stranice.