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Seminar on Probability and Statistics
Seminar information archive ～10/14｜Next seminar｜Future seminars 10/15～
| Organizer(s) | Nakahiro Yoshida, Hiroki Masuda, 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)
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.
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.
