The aim of this paper is to introduce a new type of test statistic for simple null hypothesis on one-dimensional ergodic diffusion processes sampled at discrete times. We deal with a quasi-likelihood approach for stochastic differential equations (i.e. local gaussian approximation of the transition functions) and define a test statistic by means of the empirical L2-distance between quasi-likelihoods. We prove that the introduced test statistic is asymptotically distribution free; namely it weakly converges to a χ2 random variable. Furthermore, we study the power under local alternatives of the parametric test. We show by the Monte Carlo analysis that, in the small sample case, the introduced test seems to perform better than other tests proposed in literature.

Empirical L2-distance test statistics for ergodic diffusions / A. De Gregorio, S.M. Iacus. - In: STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES. - ISSN 1387-0874. - (2018). [Epub ahead of print] [10.1007/s11203-018-9176-x]

Empirical L2-distance test statistics for ergodic diffusions

A. De Gregorio;S.M. Iacus
2018

Abstract

The aim of this paper is to introduce a new type of test statistic for simple null hypothesis on one-dimensional ergodic diffusion processes sampled at discrete times. We deal with a quasi-likelihood approach for stochastic differential equations (i.e. local gaussian approximation of the transition functions) and define a test statistic by means of the empirical L2-distance between quasi-likelihoods. We prove that the introduced test statistic is asymptotically distribution free; namely it weakly converges to a χ2 random variable. Furthermore, we study the power under local alternatives of the parametric test. We show by the Monte Carlo analysis that, in the small sample case, the introduced test seems to perform better than other tests proposed in literature.
Asymptotic distribution free test; Local alternatives; Maximum-likelihood type estimator; Discrete observations; Quasi-likelihood function; Stochastic differential equations
Settore SECS-S/01 - Statistica
Settore MAT/06 - Probabilita' e Statistica Matematica
2018
21-feb-2018
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/553636
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