On a family of test statistics for discretely observed diffusion processes
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Publication:391894
DOI10.1016/j.jmva.2013.08.002zbMath1280.62094arXiv1111.2689MaRDI 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
stochastic differential equations; discrete observations; divergence measures; distribution free tests; generalized likelihood ratio tests; parametric hypotheses testing; quasi-likelihood functions
62G10: Nonparametric hypothesis testing
65C05: Monte Carlo methods
62F05: Asymptotic properties of parametric tests
62M02: Markov processes: hypothesis testing
Related Items
Parametric estimation for a parabolic linear SPDE model based on discrete observations, 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, Adaptive test statistics for ergodic diffusion processes sampled at discrete times
Uses Software
Cites Work
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