Goodness-of-fit based on downsampling with applications to linear drift diffusions

TY - JOUR

T1 - Goodness-of-fit based on downsampling with applications to linear drift diffusions

AU - Forman, Julie Lyng

AU - Markussen, Bo

AU - Sørensen, Helle

PY - 2011/6

Y1 - 2011/6

N2 - A goodness-of-fit test for continuous-time models is developed that examines if the parameter estimates are consistent with another for different sampling frequencies. The test compares parameter estimates obtained from estimating functions for downsamples of the data. We prove asymptotic results for stationary and ergodic processes, and apply the downsampling test to linear drift diffusions. Simulations indicate that the test is quite powerful in detecting non-Markovian deviations from the linear drift diffusions.

AB - A goodness-of-fit test for continuous-time models is developed that examines if the parameter estimates are consistent with another for different sampling frequencies. The test compares parameter estimates obtained from estimating functions for downsamples of the data. We prove asymptotic results for stationary and ergodic processes, and apply the downsampling test to linear drift diffusions. Simulations indicate that the test is quite powerful in detecting non-Markovian deviations from the linear drift diffusions.

U2 - 10.1111/j.1467-9469.2010.00705.x

DO - 10.1111/j.1467-9469.2010.00705.x

M3 - Journal article

SN - 0303-6898

VL - 38

SP - 288

EP - 310

JO - Scandinavian Journal of Statistics

JF - Scandinavian Journal of Statistics

IS - 2

ER -