Semiparametric hypotheses testing for dynamical system with small noise

Stefano Iacus () and Yu. A. Kutoyants ()

Departmental Working Papers from Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano

Abstract: A problem of hypothesis testing is considered for a model of diffusion process with division coefficient tending to zero. A simple hypothesis and a semiparametric alternative are formulated in the terms of the values of some functional of nonperturbed trajectory of the dynamical system. The test proposed is locally asymptotically uniformly most powerful for a class of contiguous alternatives.

Keywords: minimax test; di vision processes; contiguous hypotheses. (search for similar items in EconPapers)
Date: 2000-01-01
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