搜索结果: 1-15 共查到“理论统计学 Diffusion Processes”相关记录16条 . 查询时间(0.141 秒)
Maximum-Likelihood Estimation For Diffusion Processes Via Closed-Form Density Expansions
asymptotic expansion diffusion discrete observation maximum-likelihood estimation transition density
2016/1/25
This paper proposes a widely applicable method of approximate maximum-likelihood estimation for multivariate diffusion process from discretely sampled data. A closed-form asymptotic expansion for tran...
Approximation of epidemic models by diffusion processes and their statistical inference
Approximation epidemic models diffusion processes their statistical inference
2013/6/14
Among various mathematical frameworks, multidimensional continuous-time Markov jump processes $(Z_t)$ on $\N^d$ form a natural set-up for modeling $SIR$-like epidemics. In this study we extend the res...
On Asymptotically Distribution Free Tests with Parametric Hypothesis for Ergodic Diffusion Processes
Cramer-von Mises tests ergodic diffusion process goodness of fit test asymptotically distribution free
2013/6/14
We consider the problem of the construction of the asymptotically distribution free test by the observations of ergodic diffusion process. It is supposedd that under the basic hypothesis the trend coe...
On Asymptotically Distribution Free Tests with Parametric Hypothesis for Ergodic Diffusion Processes
Cramer-von Mises tests ergodic diffusion process goodness of fit test asymptotically distribution free
2013/6/14
We consider the problem of the construction of the asymptotically distribution free test by the observations of ergodic diffusion process. It is supposedd that under the basic hypothesis the trend coe...
Adaptive LASSO-type estimation for ergodic diffusion processes
discretely observed diffusion processes model selection oracle proper-ties random fields stochastic differential equations
2010/3/10
The LASSO is a widely used statistical methodology for simultaneous estimation
and variable selection. In the last years, many authors analyzed this technique from
a theoretical and applied point of...
Harnack's inequalities for Dirichlet forms and their applications to diffusion processes
Harnack's inequalities Dirichlet forms applications to diffusion processes
2009/9/24
Harnack's inequalities for Dirichlet forms and their applications to diffusion processes。
On some properties of one-dimensional diffusion processes on an interval
some properties one-dimensional diffusion processes interval
2009/9/22
Some equations are obtained for the moments of the
first passage time of a one-dimensional time-homogeneous diffusion
process, through each of two accessible boundaries cr and fl, given that
the pr...
On first-passage times for one-dimensional jump-diffusion processes
Jump-diffusion process exit probability first-crossing time
2009/9/22
Some problems of first-crossing times over two time-
-dependent boundaries lor one-dimensional jump-difiusion processes
are considered. The moments of the first-crossing times over each
boundary ar...
Hitting Parabolas and Exponential Curves with Diffusion Processes
Hitting Parabolas Exponential Curves Diffusion Processes
2009/9/18
Hitting Parabolas and Exponential Curves with Diffusion Processes。
Excursions Into a New Duality Relation for Diffusion Processes
Excursions Diffusion Processes
2009/5/12
This work was motivated by the recent work by H. Dette, J. Pitman and W.J. Studden on a new duality relation for random walks. In this note we consider the diffusion process limit of their result, and...
On the Goodness-of-Fit Testing for Ergodic Diffusion Processes
Cramer-von Mises type tests diffusion process goodness of fit hypotheses testing ergodic diffusion
2010/3/19
We consider the goodness of fit testing problem for ergodic diffusion
processes. The basic hypothesis is supposed to be simple. The
diffusion coefficient is known and the alternatives are described ...
Some Diffusion Processes Associated With Two Parameter Poisson-Dirichlet Distribution and Dirichlet Process
Some Diffusion Processes Two Parameter Poisson-Dirichlet Distribution Dirichlet Process
2010/3/19
The two parameter Poisson-Dirichlet distribution PD( , ) is the distribution
of an infinite dimensional random discrete probability. It is
a generalization of Kingman’s Poisson-Dirichlet distributi...
Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
Coupling uniform convergence exact simulation linear diffusionprocesses random function SLLN on Banach space
2010/3/18
This paper introduces a Monte Carlo method for maximum likelihood
inference in the context of discretely observed diffusion processes.
The method gives unbiased and a.s. continuous estimators of
th...
Divergences Test Statistics for Discretely Observed Diffusion Processes
diffusion processes empirical level hypotheses testing divergences -divergences
2010/4/30
In this paper we propose the use of -divergences as test statistics to verify
simple hypotheses about a one-dimensional parametric diffusion process
dXt = b(Xt, )dt + (Xt, )dWt, from discrete ob...
A test for model specification of diffusion processes
Bootstrap diffusion process empirical likelihood goodness-offittest time series transitional density
2010/4/26
We propose a test for model specification of a parametric diffusion
process based on a kernel estimation of the transitional density of
the process. The empirical likelihood is used to formulate a s...