On a family of test statistics for discretely observed diffusion processes

We consider parametric hypotheses testing for multidimensional ergodic diffusion processes observed at discrete time. We propose a family of test statistics related to the so called ϕ-divergence measures. It is proved that the test statistics in this family are all asymptotically distribution free and converge to the chi squared distribution. In the case of contiguous alternatives, it is also possible to study in detail the power function of the tests.

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Year of publication:	2013
Authors:	De Gregorio, A. ; Iacus, S.M.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 122.2013, C, p. 292-316
Publisher:	Elsevier
Subject:	Discrete observations \| Distribution free tests \| Divergence measures \| Generalized likelihood ratio tests \| Parametric hypotheses testing \| Quasi-likelihood functions \| Stochastic differential equations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041918