### Abstract

We consider a nonparametric goodness of fit test problem for the drift coefficient of one-dimensional ergodic diffusions, where the diffusion coefficient is a nuisance function which is estimated in some sense. Using a theory for the continuous observation case, we construct a test based on the data observed discretely in space, that is, the so-called tick time sampled data. It is proved that the asymptotic distribution of our test under the null hypothesis is the supremum of the standard Brownian motion, and thus our test is asymptotically distribution free. It is also shown that the test is consistent under any fixed alternative.

Original language | English |
---|---|

Pages (from-to) | 81-95 |

Number of pages | 15 |

Journal | Statistical Inference for Stochastic Processes |

Volume | 13 |

Issue number | 1 |

DOIs | |

Publication status | Published - 2010 Apr |

Externally published | Yes |

### Fingerprint

### Keywords

- Asymptotically distribution free test
- Ergodic diffusion process
- Invariance principle
- Tick time sample

### ASJC Scopus subject areas

- Statistics and Probability

### Cite this

**Goodness of fit test for ergodic diffusions by tick time sample scheme.** / Negri, Ilia; Nishiyama, Yoichi.

Research output: Contribution to journal › Article

*Statistical Inference for Stochastic Processes*, vol. 13, no. 1, pp. 81-95. https://doi.org/10.1007/s11203-010-9041-z

}

TY - JOUR

T1 - Goodness of fit test for ergodic diffusions by tick time sample scheme

AU - Negri, Ilia

AU - Nishiyama, Yoichi

PY - 2010/4

Y1 - 2010/4

N2 - We consider a nonparametric goodness of fit test problem for the drift coefficient of one-dimensional ergodic diffusions, where the diffusion coefficient is a nuisance function which is estimated in some sense. Using a theory for the continuous observation case, we construct a test based on the data observed discretely in space, that is, the so-called tick time sampled data. It is proved that the asymptotic distribution of our test under the null hypothesis is the supremum of the standard Brownian motion, and thus our test is asymptotically distribution free. It is also shown that the test is consistent under any fixed alternative.

AB - We consider a nonparametric goodness of fit test problem for the drift coefficient of one-dimensional ergodic diffusions, where the diffusion coefficient is a nuisance function which is estimated in some sense. Using a theory for the continuous observation case, we construct a test based on the data observed discretely in space, that is, the so-called tick time sampled data. It is proved that the asymptotic distribution of our test under the null hypothesis is the supremum of the standard Brownian motion, and thus our test is asymptotically distribution free. It is also shown that the test is consistent under any fixed alternative.

KW - Asymptotically distribution free test

KW - Ergodic diffusion process

KW - Invariance principle

KW - Tick time sample

UR - http://www.scopus.com/inward/record.url?scp=77951622975&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=77951622975&partnerID=8YFLogxK

U2 - 10.1007/s11203-010-9041-z

DO - 10.1007/s11203-010-9041-z

M3 - Article

AN - SCOPUS:77951622975

VL - 13

SP - 81

EP - 95

JO - Statistical Inference for Stochastic Processes

JF - Statistical Inference for Stochastic Processes

SN - 1387-0874

IS - 1

ER -