Asymptotically uniformly most powerful tests for diffusion processes with nonsynchronous observations
非同步观测扩散过程的渐近一致最强检验
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…