Divergences test statistics for discretely observed diffusion processes

DOI10.1016/J.JSPI.2009.12.029MaRDI QIDQ963864zbMATH OpenOpenAlexFDO

Authors Stefano M. 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, http://hdl.handle.net/2434/151699

zbMATH Keywords

tableshypotheses testingdiffusion processesgeneralized likelihood ratio test\(\phi\)-divergencesempirical level

Mathematics Subject Classification ID

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

Abstract: In this paper we propose the use of $phi$-divergences as test statistics to verify simple hypotheses about a one-dimensional parametric diffusion process $de{X}_t=b(X_t,heta)det+sigma(X_t,heta)de{W}_t$, from discrete observations $X_{t_i},i=0,\mathrm{...},n$ with $t_i=iDelt{a}_n$, $i=0,1,>\mathrm{...},n$, under the asymptotic scheme $Delt{a}_{n}o0$, $nDelt{a}_{n}oinfty$ and $nDelt{a}_n^{2}o0$. The class of $phi$-divergences is wide and includes several special members like Kullback-Leibler, R'enyi, power and $alpha$-divergences. We derive the asymptotic distribution of the test statistics based on $phi$-divergences. The limiting law takes different forms depending on the regularity of $phi$. These convergence differ from the classical results for independent and identically distributed random variables. Numerical analysis is used to show the small sample properties of the test statistics in terms of estimated level and power of the test.

Recommendations

• On a family of test statistics for discretely observed diffusion processes
• On the goodness of fit test for discretely observed sample from diffusion processes: divergence measure approach
• Rényi test statistics for partially observed diffusion processes
• Test for parameter change in discretely observed diffusion processes
• On testing hypotheses with divergence statistics
• Testing for diffusion in a discretely observed semimartingale
• scientific article; zbMATH DE number 3956276
• scientific article; zbMATH DE number 5164393
• Adaptive test statistics for ergodic diffusion processes sampled at discrete times

Cites work

• scientific article; zbMATH DE number 3173999 (Why is no real title available?)
• scientific article; zbMATH DE number 4203393 (Why is no real title available?)
• scientific article; zbMATH DE number 3911472 (Why is no real title available?)
• scientific article; zbMATH DE number 4072103 (Why is no real title available?)
• scientific article; zbMATH DE number 782641 (Why is no real title available?)
• scientific article; zbMATH DE number 3252892 (Why is no real title available?)
• scientific article; zbMATH DE number 2221907 (Why is no real title available?)
• A minimum Hellinger distance estimator for stochastic differential equations: an application to statistical inference for continuous time interest rate models
• A test for model specification of diffusion processes
• Differential-geometrical methods in statistics
• Estimation for diffusion processes from discrete observation
• Estimation for the discretely observed telegraph process
• Estimation of an Ergodic Diffusion from Discrete Observations
• Estimation of the coefficients of a diffusion from discrete observations
• Exponential families of stochastic processes
• Goodness of fit test for ergodic diffusion processes
• Goodness of fit test for ergodic diffusions by tick time sample scheme
• Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach
• Information criteria for small diffusions via the theory of Malliavin-Watanabe
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Minimum Hellinger distance estimates for parametric models
• Minimum alpha-divergence estimation for arch models
• On Rényi information for ergodic diffusion processes
• On invariant density estimation for ergodic diffusion processes
• RESIDUAL EMPIRICAL PROCESS FOR DIFFUSION PROCESSES
• Rényi test statistics for partially observed diffusion processes
• Semiparametric hypotheses testing for dynamical systems with small noise
• Some new statistics for testing hypotheses in parametric models

Cited in

(8)

• On a family of test statistics for discretely observed diffusion processes
• Adaptive test for ergodic diffusions plus noise
• AIC type statistics for discretely observed ergodic diffusion processes
• Variation-based tests for volatility misspecification
• On the goodness of fit test for discretely observed sample from diffusion processes: divergence measure approach
• scientific article; zbMATH DE number 3919544 (Why is no real title available?)
• Discrete convolution statistic for hypothesis testing
• Rényi test statistics for partially observed diffusion processes

Describes a project that uses

Uses Software

• R

This page was built for publication: Divergences test statistics for discretely observed diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q963864)