Adaptive testing method for ergodic diffusion processes based on high frequency data

نویسندگان

چکیده

We consider parametric tests for multidimensional ergodic diffusions based on high frequency data. propose two-step testing method diffusion parameters and drift parameters. To construct test statistics of the tests, we utilize adaptive estimator provide three types statistics: likelihood ratio type test, Wald Rao’s score test. It is proved that these converge in distribution to chi-squared under null hypothesis have consistency against alternatives. Moreover, non-central local also give some simulation studies behavior statistics.

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ژورنال

عنوان ژورنال: Journal of Statistical Planning and Inference

سال: 2022

ISSN: ['1873-1171', '0378-3758']

DOI: https://doi.org/10.1016/j.jspi.2021.08.004