On a family of test statistics for discretely observed diffusion processes

DOI10.1016/j.jmva.2013.08.002zbMath1280.62094arXiv1111.2689OpenAlexW2081339969MaRDI QIDQ391894

Alessandro De Gregorio, Stefano Maria Iacus

Publication date: 13 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.2689

zbMATH Keywords

stochastic differential equationsdiscrete observationsdivergence measuresdistribution free testsgeneralized likelihood ratio testsparametric hypotheses testingquasi-likelihood functions

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Monte Carlo methods (65C05) Asymptotic properties of parametric tests (62F05) Markov processes: hypothesis testing (62M02)

Related Items (6)

Parametric estimation for a parabolic linear SPDE model based on discrete observations ⋮ Adaptive test statistics for ergodic diffusion processes sampled at discrete times ⋮ Hybrid estimation for ergodic diffusion processes based on noisy discrete observations ⋮ Adaptive testing method for ergodic diffusion processes based on high frequency data ⋮ Empirical \(L^2\)-distance test statistics for ergodic diffusions ⋮ Adaptive test for ergodic diffusions plus noise

Uses Software

• sde

Cites Work

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