Divergences test statistics for discretely observed diffusion processes

DOI10.1016/J.JSPI.2009.12.029zbMATH Open1184.62144arXiv0808.0853OpenAlexW2153439128MaRDI QIDQ963864FDOQ963864

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)

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.

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

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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)

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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
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• Discrete convolution statistic for hypothesis testing
• Rényi test statistics for partially observed diffusion processes

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