On Threshold Choice in Hypothesis Testing for Dynamical Systems with Small Noise

DOI10.1080/03610926.2011.579374zbMath1433.62064OpenAlexW1977279735MaRDI QIDQ4921640

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

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

Cites Work

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

This page was built for publication: On Threshold Choice in Hypothesis Testing for Dynamical Systems with Small Noise