A. Gregorio

most citedDivergences Test Statistics for Discretely Observed Diffusion Processes

1 citations · 3 across the 4 of their papers we have counts for

collaborators

4 papers

math.ST2008★ 1 cited

Divergences Test Statistics for Discretely Observed Diffusion Processes

Alessandro De Gregorio, Stefano Iacus

In this paper we propose the use of $ϕ$ -divergences as test statistics to verify simple hypotheses about a one-dimensional parametric diffusion process $\de X_t = b(X_t, θ)\de t +…

math.PR2007★ 1 cited

Renyi information for ergodic diffusion processes

Alessandro De Gregorio, Stefano Iacus

In this paper we derive explicit formulas of the Rényi information, Shannon entropy and Song measure for the invariant density of one dimensional ergodic diffusion processes. In pa…

math.ST2007★ 1 cited

Least squares volatility change point estimation for partially observed diffusion processes

A. De Gregorio, S. M. Iacus

A one dimensional diffusion process $X = {X_{t}, 0 \leq t \leq T}$ , with drift $b (x)$ and diffusion coefficient $σ (θ, x) = θ σ (x)$ known up to $θ > 0$ , is supposed to switch volatili…

math.ST2007

Parametric estimation for planar random flights observed at discrete times

Alessandro De Gregorio

We deal with a planar random flight ${(X (t), Y (t)), 0 < t \leq T}$ observed at $n + 1$ equidistant times $t_{i} = i Δ_{n}, i = 0, 1, ..., n$ . The aim of this paper is to estimate the unknown value o…