Divergences test statistics for discretely observed diffusion processes

DOI10.1016/j.jspi.2009.12.029zbMath1184.62144arXiv0808.0853OpenAlexW2153439128MaRDI QIDQ963864

Stefano Maria Iacus, Alessandro De Gregorio

Publication date: 14 April 2010

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

Full work available at URL: https://arxiv.org/abs/0808.0853

zbMATH Keywords

tablesdiffusion processeshypotheses testinggeneralized likelihood ratio test\(\phi\)-divergencesempirical level

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Statistical aspects of information-theoretic topics (62B10) Markov processes: hypothesis testing (62M02)

Related Items (2)

Variation-based tests for volatility misspecification ⋮ Adaptive test for ergodic diffusions plus noise

Uses Software

• R

Cites Work

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