1 citations · 3 across the 3 of their papers we have counts for
3 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 -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 , with drift and diffusion coefficient known up to , is supposed to switch volatili…