Adaptive testing method for ergodic diffusion processes based on high frequency data

DOI10.1016/J.JSPI.2021.08.004MaRDI QIDQ2059448zbMATH OpenOpenAlexWikidataFDO

Authors Tetsuya Kawai, Masayuki Uchida

Publication date 14 December 2021

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2010.13410

zbMATH Keywords

consistency of testlikelihood ratio testRao's score teststochastic differential equationWald test

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Markov processes: hypothesis testing (62M02)

Abstract: We consider parametric tests for multidimensional ergodic diffusions based on high frequency data. We propose two-step testing method for diffusion parameters and drift parameters. To construct test statistics of the tests, we utilize the adaptive estimator and provide three types of test statistics: likelihood ratio type test, Wald type test and Rao's score type test. It is proved that these test statistics converge in distribution to the chi-squared distribution under null hypothesis and have consistency of the tests against alternatives. Moreover, these test statistics converge in distribution to the non-central chi-squared distribution under local alternatives. We also give some simulation studies of the behavior of the three types of test statistics.

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Cites work

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Cited in

(7)

• Adaptive tests for stochastic processes in the ergodic case
• Adaptive test for ergodic diffusions plus noise
• Adaptive test statistics for ergodic diffusion processes sampled at discrete times
• Sharp adaptive similarity testing with pathwise stability for ergodic diffusions
• A test for diffusion model based on multi-dimensional tail condition expectations
• Adaptive inference for small diffusion processes based on sampled data
• Asymptotic properties of recursive kernel density estimation for long-span high-frequency data

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