Review on Goodness of Fit Tests for Ergodic Diffusion Processes by Different Sampling Schemes

Ilia Negri, Yoichi Nishiyama

研究成果: Review article査読

1 被引用数 (Scopus)

抄録

We review some recent results on goodness of fit test for the drift coefficient of a one-dimensional ergodic diffusion, where the diffusion coefficient is a nuisance function which however is estimated. Using a theory for the continuous observation case, we first present a test based on deterministic discrete time observations of the process. Then we also propose a test based on the data observed discretely in space, that is, the so-called tick time sample scheme. In both sampling schemes the limit distribution of the test is the supremum of the standard Brownian motion, thus the test is asymptotically distribution free. The tests are also consistent under any fixed alternatives.

本文言語English
ページ(範囲)91-106
ページ数16
ジャーナルEconomic Notes
39
1-2
DOI
出版ステータスPublished - 2010 2 1
外部発表はい

ASJC Scopus subject areas

  • 経済学、計量経済学

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