7,817 research outputs found
On a family of test statistics for discretely observed diffusion processes
We consider parametric hypotheses testing for multidimensional ergodic
diffusion processes observed at discrete time. We propose a family of test
statistics, related to the so called -divergence measures. By taking into
account the quasi-likelihood approach developed for studying the stochastic
differential equations, it is proved that the tests in this family are all
asymptotically distribution free. In other words, our test statistics weakly
converge to the chi squared distribution. Furthermore, our test statistic is
compared with the quasi likelihood ratio test. In the case of contiguous
alternatives, it is also possible to study in detail the power function of the
tests.
Although all the tests in this family are asymptotically equivalent, we show
by Monte Carlo analysis that, in the small sample case, the performance of the
test strictly depends on the choice of the function . Furthermore, in
this framework, the simulations show that there are not uniformly most powerful
tests
Divergences Test Statistics for Discretely Observed Diffusion Processes
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, \theta)\de t + \sigma(X_t, \theta)\de W_t, from discrete
observations with , , under the asymptotic scheme , and
. The class of -divergences is wide and includes
several special members like Kullback-Leibler, R\'enyi, power and
-divergences. We derive the asymptotic distribution of the test
statistics based on -divergences. The limiting law takes different forms
depending on the regularity of . These convergence differ from the
classical results for independent and identically distributed random variables.
Numerical analysis is used to show the small sample properties of the test
statistics in terms of estimated level and power of the test
On penalized estimation for dynamical systems with small noise
We consider a dynamical system with small noise for which the drift is
parametrized by a finite dimensional parameter. For this model we consider
minimum distance estimation from continuous time observations under
-penalty imposed on the parameters in the spirit of the Lasso approach
with the aim of simultaneous estimation and model selection. We study the
consistency and the asymptotic distribution of these Lasso-type estimators for
different values of . For we also consider the adaptive version of the
Lasso estimator and establish its oracle properties
Change point estimation for the telegraph process observed at discrete times
The telegraph process models a random motion with finite velocity and it is
usually proposed as an alternative to diffusion models. The process describes
the position of a particle moving on the real line, alternatively with constant
velocity or . The changes of direction are governed by an homogeneous
Poisson process with rate In this paper, we consider a change
point estimation problem for the rate of the underlying Poisson process by
means of least squares method. The consistency and the rate of convergence for
the change point estimator are obtained and its asymptotic distribution is
derived. Applications to real data are also presented
Clustering of discretely observed diffusion processes
In this paper a new dissimilarity measure to identify groups of assets
dynamics is proposed. The underlying generating process is assumed to be a
diffusion process solution of stochastic differential equations and observed at
discrete time. The mesh of observations is not required to shrink to zero. As
distance between two observed paths, the quadratic distance of the
corresponding estimated Markov operators is considered. Analysis of both
synthetic data and real financial data from NYSE/NASDAQ stocks, give evidence
that this distance seems capable to catch differences in both the drift and
diffusion coefficients contrary to other commonly used metrics
Empirical -distance test statistics for ergodic diffusions
The aim of this paper is to introduce a new type of test statistic for simple
null hypothesis on one-dimensional ergodic diffusion processes sampled at
discrete times. We deal with a quasi-likelihood approach for stochastic
differential equations (i.e. local gaussian approximation of the transition
functions) and define a test statistic by means of the empirical -distance
between quasi-likelihoods. We prove that the introduced test statistic is
asymptotically distribution free; namely it weakly converges to a
random variable. Furthermore, we study the power under local alternatives of
the parametric test. We show by the Monte Carlo analysis that, in the small
sample case, the introduced test seems to perform better than other tests
proposed in literature
The Effect of Chemical Composition of Biological Solutions on the Tribocorrosive Behavior and Synergistic Wear of Titanium Grade V Alloys for Biomedical Applications
Currently, the impact of tribocorrosion on medical devices such as dental implants has achieved notable effects since tribocorrosion is directly correlated with the longevity of the prosthesis. In a scenario where the phenomenon involves several variables, both from the tribological and chemical fields, this work aims to investigate the effect of the chemical compositions of biological solutions on the coupling of titanium grade V-alumina. The experimental tests were performed by a reciprocating tribometer equipped with a potentiostat and by a confocal/interferometric laser microscope connected with high-performance software for particle and wear analysis. The latter was evaluated by the synergistic approach, which is commonly adopted in the scientific community, as the sum of mechanical and synergistic effects. The results underlined that sodium lactate induced the greatest volume loss as much as the greatest tribocorrosive current and friction coefficient. On the other hand, the presence of salts such as sodium chloride and sodium bicarbonate also influenced the tribocorrosive response of titanium grade V alloys. In conclusion, the analytical equation considered for synergistic wear was modified by the introduction of a novel coefficient derived from the direct relationship between the friction coefficient and synergy and compared with the experimental data, providing a determination coefficient (R2) of 0.89
Communicating corporate social responsibility to involve stakeholders. The case of employer branding for university students
La responsabilità sociale d'impresa (o Corporate Social Responsibility, CSR) è uno strumento efficace di marketing e la sua efficacia è mediata dalla modalità con cui le aziende comunicano le proprie attività di CSR agli stakeholder. La ricerca si propone di valutare l'effetto di cinque strategie di comunicazione della CSR, ordinate secondo un livello crescente di coinvolgimento degli stakeholder, sull'Employer Branding (EB) di un'azienda ipotetica. Attraverso la distribuzione di cinque varianti di un opuscolo, l’azienda è stata presentata a due campioni di studenti universitari (n=167; n=112) in cinque diversi scenari comunicativi della CSR. È stato somministrato un questionario con scale che misurano l’attrattività dell'azienda, il prestigio percepito dell'azienda, la disponibilità dei soggetti a entrare in contatto con l'azienda e l’impegno prospettico sul lavoro. È stata anche indagata la percezione della brand personality e della comunicazione della CSR. Le analisi confermano che tutti e cinque gli scenari sono caratterizzati da alti livelli delle dimensioni dell’EB, però lo specifico dialogo di CSR adottato può generare differenti percezioni della brand personality dell'azienda.Corporate Social Responsibility (CRS) is an effective marketing lever, and its effectiveness is mediated by the strategies companies use to communicate their CRS activities to stakeholders. The present research aims at assessing the effect of five CSR communicative strategies, ranked according to an increasing involvement level of stakeholders, on a fictional company’s Employer Branding (EB). The company was presented to two samples of university students (n=167; n=112) via the administration of five different versions of a brochure, corresponding to five different communicative scenarios of CSR. A self-report questionnaire was administrated, with scales measuring the company’s attractiveness, perceived prestige, intention to contact the company, and prospective engagement, as well as the company’s perceived brand personality and CSR communication. Analyses report high levels of the EB dimensions in all five communicative scenarios, which however produce different perceptions of the company’s brand personality
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