Related papers: On a family of test statistics for discretely obse…
The aim of this paper is to introduce a new type of test statistic for simple null hypothesis on one-dimensional ergodic diffusion processes sampled at discrete times. We deal with a quasi-likelihood approach for stochastic differential…
In this paper we propose the use of $\phi$-divergences as test statistics to verify simple hypotheses about a one-dimensional parametric diffusion process $\de X_t = b(X_t, \theta)\de t + \sigma(X_t, \theta)\de W_t$, from discrete…
This paper introduces a quasi-likelihood ratio testing procedure for diffusion processes observed under nonsynchronous sampling schemes. High-frequency data, particularly in financial econometrics, are often recorded at irregular time…
We consider parametric tests for multidimensional ergodic diffusions based on high frequency data. We propose two-step testing method for diffusion parameters and drift parameters. To construct test statistics of the tests, we utilize the…
We consider the problem of the construction of the asymptotically distribution free test by the observations of ergodic diffusion process. It is supposedd that under the basic hypothesis the trend coefficient depends on the finite…
In this paper we apply divergence measures to empirical likelihood applied to logistic regression models. We define a family of empirical test statistics based on divergence measures, called empirical phi-divergence test statistics,…
For model-specification purpose, we study asymptotic behavior of the marginal quasi-log likelihood associated with a family of locally asymptotically quadratic (LAQ) statistical experiments. Our result entails a far-reaching extension of…
We consider two problems of constructing of goodness of fit tests for ergodic diffusion processes. The first one is concerned with a composite basic hypothesis for a parametric class of diffusion processes, which includes the…
We consider the goodness of fit testing problem for ergodic diffusion processes. The basic hypothesis is supposed to be simple. The diffusion coefficient is known and the alternatives are described by the different trend coefficients. We…
The main purpose of this paper is to introduce first a new family of empirical test statistics for testing a simple null hypothesis when the vector of parameters of interest are defined through a specific set of unbiased estimating…
We consider statistical inference in factor analysis for ergodic and non-ergodic diffusion processes from discrete observations. Factor model based on high frequency time series data has been mainly discussed in the field of high…
Correlated observations are ubiquitous phenomena in a plethora of scientific avenues. Tackling this dependence among test statistics has been one of the pertinent problems in simultaneous inference. However, very little literature exists…
We consider adaptive maximum-likelihood-type estimators and adaptive Bayes-type ones for discretely observed ergodic diffusion processes with observation noise whose variance is constant. The quasi-likelihood functions for the diffusion and…
We study parametric estimation of ergodic diffusions observed at high frequency. Different from the previous studies, we suppose that sampling stepsize is unknown, thereby making the conventional Gaussian quasi-likelihood not directly…
The object of study is the problem of testing for uniformity of the multinomial distribution. We consider tests based on symmetric statistics, defined as the sum of some function of cell-frequencies. Mainly, attention is focused on the…
In this paper new families of test statistics are introduced and studied for the problem of comparing two treatments in terms of the likelihood ratio order. The considered families are based on phi-divergence measures and arise as natural…
We consider goodness-of-fit tests for uniformity of a multinomial distribution by means of tests based on a class of symmetric statistics, defined as the sum of some function of cell-frequencies. We are dealing with an asymptotic regime,…
We study small perturbations of diffusion processes in $\mathbb{R}^d$ that leave invariant a finite collection of hypersurfaces. Each surface is assumed to be repelling for the unperturbed process, and the unperturbed motion on each of the…
We consider the problem of the estimation of the invariant distribution function of an ergodic diffusion process when the drift coefficient is unknown. The empirical distribution function is a natural estimator which is unbiased, uniformly…
This article demonstrates how recent developments in the theory of empirical processes allow us to construct a new family of asymptotically distribution-free smooth tests. Their distribution-free property is preserved even when the…