On threshold choice in hypothesis testing for dynamical systems with small noise

DOI10.1080/03610926.2011.579374MaRDI QIDQ4921640zbMATH OpenOpenAlexFDO

Authors Anissa Rabhi

Publication date 13 May 2013

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2011.579374

zbMATH Keywords

diffusion processhypotheses testinglocally asymptotically most powerful testsmall noise asymptotic

Mathematics Subject Classification ID

Diffusion processes (60J60) Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12)

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Cites work

• Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
• Expansion of a Maximum Likelihood Estimate by Diffusion Powers
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• Malliavin calculus and asymptotic expansion for martingales
• On a Problem of Testing Hypotheses and Asymptotic Normality of Stochastic Integrals

Cited in

(2)

• Semiparametric hypotheses testing for dynamical systems with small noise
• On selecting the minimum observation time for determining the Leq of a random noise with a given level of confidence

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