Goodness of fit test for ergodic diffusion processes
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Publication:904055
DOI10.1007/S10463-007-0162-0zbMATH Open1332.62301arXivmath/0701022OpenAlexW2036111368MaRDI QIDQ904055FDOQ904055
Authors: Ilia Negri, Yoichi Nishiyama 
Publication date: 15 January 2016
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Abstract: A goodness of fit test for the drift coefficient of an ergodic diffusion process is presented. The test is based on the score marked empirical process. The weak convergence of the proposed test statistic is studied under the null hypotheses and it is proved that the limit process is a continuous Gaussian process. The structure of its covariance function allows to calculate the limit distribution and it turns out that it is a function of a standard Brownian motion and so exact reject regions can be constructed. The proposed test is asymptotically distribution free and it is consistent under any simple fixed alternative.
Full work available at URL: https://arxiv.org/abs/math/0701022
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Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Diffusion processes (60J60) Non-Markovian processes: hypothesis testing (62M07)
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Cited In (28)
- Weak convergence of marked empirical processes in a Hilbert space and its applications
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- Goodness of fit test for small diffusions by discrete time observations
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- Goodness of fit test for ergodic diffusions by tick time sample scheme
- Semi-nonparametric estimation and misspecification testing of diffusion models
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- On identification of the threshold diffusion processes
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- Goodness-of-fit testing for fractional diffusions
- On goodness-of-fit testing for ergodic diffusion process with shift parameter
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