Hypothesis testing for Fisher-Snedecor diffusion

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• 作者：F. Avram^a ; ^{florin.avram@univ-pau.fr} ; N.N. Leonenko^b ; ^{LeonenkoN@cardiff.ac.uk} ; N. Š ; uvak^c ; ^{nsuvak@mathos.hr}
• 关键词：Diffusion process ; Fisher&ndash ; Snedecor polynomials ; Generalized method of moments ; Hansen&ndash ; Scheinkman moment condition ; Stein equation ; Transition density
• 刊名：Journal of Statistical Planning and Inference
• 出版年：2012
• 期刊代码：36_03783758
• 类别：mt
• 出版时间：August, 2012
• 卷：142
• 期：8
• 页码：2308-2321
• 文件大小：311 K

摘要

We consider the problem of testing the hypothesis 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鈥擣isher-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.