Dümbgen, Lutz; Spokoiny, Vladimir G. - Sonderforschungsbereich 373, Quantifikation und … - 1999
Suppose that one observes a process Y on the unit interval, where dY(t) = n 1/ 2f(t)dt + dW(t) with an unknown function parameter f, given scale parameter n N 1 (sample size) and standard Brownian motion W. We propose two classes of tests of qualitative nonparametric hypotheses about f such as...