We consider a nonparametric goodness of fit test problem for the drift coefficient of one-dimensional ergodic diffusions, where the diffusion coefficient is a nuisance function which is estimated in some sense. Using a theory for the continuous observation case, we construct two kinds of tests based on different types of discrete observations, namely, the data observed discretely in time or in space. We prove that the limit distribution of our tests is the supremum of the standard Brownian motion, and thus our tests are asymptotically distribution free. We also show that our tests are consistent under any fixed alternatives.

joint with Yoichi Nishiyama (Inst. Statist. Math.)