S. Iacus

most citedDivergences Test Statistics for Discretely Observed Diffusion Processes

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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.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…