Adaptive test statistics for ergodic diffusion processes sampled at discrete times

DOI10.1016/j.jspi.2014.03.003zbMath1287.62016OpenAlexW2070175022MaRDI QIDQ2453614

Masayuki Uchida, Hayato Kitagawa

Publication date: 10 June 2014

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

Full work available at URL: https://doi.org/10.1016/j.jspi.2014.03.003

zbMATH Keywords

likelihood ratio teststochastic differential equationsWald testdiscrete time observationsRao's score testconsistent testsmaximum likelihood type estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Markov processes: hypothesis testing (62M02)

Related Items

Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations, Statistical inference in factor analysis for diffusion processes from discrete observations, Unnamed Item, Adaptive test statistics for ergodic diffusion processes sampled at discrete times, 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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