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

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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