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

DOI10.1016/j.jspi.2021.08.004zbMath1480.62169arXiv2010.13410OpenAlexW3198390738WikidataQ108863887 ScholiaQ108863887MaRDI QIDQ2059448

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

stochastic differential equationlikelihood ratio testWald testRao's score testconsistency of test

Mathematics Subject Classification ID

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

Related Items (1)

Adaptive inference for small diffusion processes based on sampled data

Cites Work

• Unnamed Item
• Unnamed Item
• Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
• On a family of test statistics for discretely observed diffusion processes
• Adaptive estimation of an ergodic diffusion process based on sampled data
• Estimation for diffusion processes from discrete observation
• On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
• LAN property for ergodic diffusions with discrete observations
• Empirical \(L^2\)-distance test statistics for ergodic diffusions
• Adaptive test for ergodic diffusions plus noise
• Adaptive test statistics for ergodic diffusion processes sampled at discrete times
• Approximate discrete-time schemes for statistics of diffusion processes
• Asymptotic Statistics
• Estimation of an Ergodic Diffusion from Discrete Observations

This page was built for publication: Adaptive testing method for ergodic diffusion processes based on high frequency data