Goodness-of-Fit based on Downsampling with Applications to Linear Drift Diffusions

Goodness-of-Fit based on Downsampling with Applications to Linear Drift Diffusions

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Article ID: iaor201112548
Volume: 38
Issue: 2
Start Page Number: 288
End Page Number: 310
Publication Date: Jun 2011
Journal: Scandinavian Journal of Statistics
Authors: , ,
Keywords: statistics: sampling, datamining, statistics: distributions
Abstract:

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.

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