Asymptotically uniformly most powerful tests for diffusion processes with nonsynchronous observations
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arXiv
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| Format: | Preprint |
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2025
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| _version_ | 1866913754162135040 |
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| author | Ogihara, Teppei Ueno, Futo |
| author_facet | Ogihara, Teppei Ueno, Futo |
| contents | 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 points, challenging conventional synchronous methods for parameter estimation and hypothesis testing. To address these challenges, we develop a quasi-likelihood framework that accommodates irregular sampling while integrating adaptive estimation techniques for both drift and diffusion coefficients, thereby enhancing optimization stability and reducing computational burden. We rigorously derive the asymptotic properties of the proposed test statistic, showing that it converges to a chi-squared distribution under the null hypothesis and exhibits consistency under alternatives. Moreover, we establish that the resulting tests are asymptotically uniformly most powerful. Extensive numerical experiments corroborate the theoretical findings and demonstrate that our method outperforms existing nonparametric approaches. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2503_18400 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Asymptotically uniformly most powerful tests for diffusion processes with nonsynchronous observations Ogihara, Teppei Ueno, Futo Statistics Theory 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 points, challenging conventional synchronous methods for parameter estimation and hypothesis testing. To address these challenges, we develop a quasi-likelihood framework that accommodates irregular sampling while integrating adaptive estimation techniques for both drift and diffusion coefficients, thereby enhancing optimization stability and reducing computational burden. We rigorously derive the asymptotic properties of the proposed test statistic, showing that it converges to a chi-squared distribution under the null hypothesis and exhibits consistency under alternatives. Moreover, we establish that the resulting tests are asymptotically uniformly most powerful. Extensive numerical experiments corroborate the theoretical findings and demonstrate that our method outperforms existing nonparametric approaches. |
| title | Asymptotically uniformly most powerful tests for diffusion processes with nonsynchronous observations |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/2503.18400 |