TY - JOUR
T1 - Goodness-of-fit test for ergodic diffusions by discrete-time observations
T2 - An innovation martingale approach
AU - Masuda, Hiroki
AU - Negri, Ilia
AU - Nishiyama, Yoichi
N1 - Funding Information:
This work was supported by MIUR 2006 Grant and ISM Cooperative Research Program.
PY - 2011/6
Y1 - 2011/6
N2 - 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.
AB - 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.
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U2 - 10.1080/10485252.2010.510186
DO - 10.1080/10485252.2010.510186
M3 - Article
AN - SCOPUS:79957627934
SN - 1048-5252
VL - 23
SP - 237
EP - 254
JO - Journal of Nonparametric Statistics
JF - Journal of Nonparametric Statistics
IS - 2
ER -