Seminar on Probability and Statistics

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Organizer(s) Nakahiro Yoshida, Teppei Ogihara, Yuta Koike

2018/03/15

16:00-17:10   Room #052 (Graduate School of Math. Sci. Bldg.)
Stefano Iacus (University of Milan)
On Hypotheses testing for discretely observed SDE (Joint work with Alessandro De Gregorio, University of Rome)
[ Abstract ]
In this talk we consider parametric hypotheses testing for discretely observed ergodic diffusion processes. We present the different test statistics proposed in literature and recall their asymptotic properties. We also compare the empirical performance of different tests in the case of small sample sizes.