Abstract
We propose some parametric tests for an 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: likelihood-ratio-type test; Wald-type; and Rao-type. All the test statistics are constructed with quasi-likelihood-functions for a local mean sequence of noised observation. We also simulate their behaviour for several practical hypothesis tests and check the convergence in law of test statistics under null hypotheses and consistency of the test under alternative ones. We apply the method for real data analysis of wind data and examine some sets of the hypotheses mainly with respect to the structure of the diffusion coefficient.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callSimilar Papers
More From: Journal of Statistical Planning and Inference
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
