Goodness-of-fit test for ergodic diffusions by discrete-time observations: An innovation martingale approach

Hiroki Masuda, Ilia Negri, Yoichi Nishiyama

研究成果: Article

5 引用 (Scopus)

抜粋

We consider a nonparametric goodness-of-fit test problem for the drift coefficient of one-dimensional ergodic diffusions. Our test is based on the discrete-time observation of the processes, and the diffusion coefficient is a nuisance function which is estimated in some sense in our testing procedure.We prove that the limit distribution of our test is the supremum of the standard Brownian motion, and thus our test is asymptotically distribution free.We also show that our test is consistent under any fixed alternatives.

元の言語English
ページ(範囲)237-254
ページ数18
ジャーナルJournal of Nonparametric Statistics
23
発行部数2
DOI
出版物ステータスPublished - 2011 6 1
外部発表Yes

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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