Empirical L^2-distance test statistics for ergodic diffusions
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Publication:2316339
Abstract: The aim of this paper is to introduce a new type of test statistic for simple null hypothesis on one-dimensional ergodic diffusion processes sampled at discrete times. We deal with a quasi-likelihood approach for stochastic differential equations (i.e. local gaussian approximation of the transition functions) and define a test statistic by means of the empirical -distance between quasi-likelihoods. We prove that the introduced test statistic is asymptotically distribution free; namely it weakly converges to a random variable. Furthermore, we study the power under local alternatives of the parametric test. We show by the Monte Carlo analysis that, in the small sample case, the introduced test seems to perform better than other tests proposed in literature.
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Cited in
(6)- Hybrid estimation for ergodic diffusion processes based on noisy discrete observations
- Adaptive testing method for ergodic diffusion processes based on high frequency data
- Adaptive test for ergodic diffusions plus noise
- Adaptive test statistics for ergodic diffusion processes sampled at discrete times
- On a family of test statistics for discretely observed diffusion processes
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