首页 | 本学科首页   官方微博 | 高级检索  
     检索      


On Cramér–von Mises type test based on local time of switching diffusion process
Authors:Anis Gassem
Institution:Laboratoire de Statistique et Processus, Université du Maine, 72085 Le Mans, France
Abstract:We consider a Cramér–von Mises type test for hypothesis that the observed diffusion process has sign-type trend coefficient based on empirical density function. It is shown that the limit distribution of the proposed test statistic is defined by the integral type functional of continuous Gaussian process. We provide the Karhunen–Loève expansion of the corresponding limiting process. Approximation of the threshold is given through the representation for the limit statistic.
Keywords:
本文献已被 ScienceDirect 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号