Related papers: Adaptive testing method for ergodic diffusion proc…
We propose some parametric tests for ergodic diffusion-plus-noise model, which is a version of state-space modelling in statistics for stochastic diffusion equations. The test statistics are classified into three types:…
We consider the adaptive test for the parameter change in discretely observed ergodic diffusion processes based on the cusum test. Using two test statistics based on the two quasi-log likelihood functions of the diffusion parameter and the…
We consider parametric hypotheses testing for multidimensional ergodic diffusion processes observed at discrete time. We propose a family of test statistics, related to the so called $\phi$-divergence measures. By taking into account the…
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…
We research adaptive maximum likelihood-type estimation for an ergodic diffusion process where the observation is contaminated by noise. This methodology leads to the asymptotic independence of the estimators for the variance of observation…
A problem of goodness-of-fit test for ergodic diffusion processes is presented. In the null hypothesis the drift of the diffusion is supposed to be in a parametric form with unknown shift parameter. Two Cramer-Von Mises type test statistics…
We research adaptive maximum likelihood-type estimation for an ergodic diffusion process where the observation is contaminated by noise. This methodology leads to the asymptotic independence of the estimators for the variance of observation…
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…
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…
We consider parametric estimation and tests for multi-dimensional diffusion processes with a small dispersion parameter $\varepsilon$ from discrete observations. For parametric estimation of diffusion processes, the main target is to…
We treat the change point problem in ergodic diffusion processes from discrete observations. Tonaki et al. (2020) proposed adaptive tests for detecting changes in the diffusion and drift parameters in ergodic diffusion models. When any…
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 consider parametric estimation for ergodic diffusion processes with noisy sampled data based on the hybrid method, that is, the multi-step estimation with the initial Bayes type estimators. In order to select proper initial values for…
Gaussian quasi-likelihood estimation of the parameter $\theta$ in the square-root diffusion process is studied under high frequency sampling. Different from the previous study of Overbeck and Ryd\'{e}n(1998) under low-frequency sampling,…
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…
Penalized estimation methods for diffusion processes and dependent data have recently gained significant attention due to their effectiveness in handling high-dimensional stochastic systems. In this work, we introduce an adaptive…
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…
Motivated by contemporary and rich applications of anomalous diffusion processes we propose a new statistical test for fractional Brownian motion, which is one of the most popular models for anomalous diffusion systems. The test is based on…
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 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…