The Bickel--Rosenblatt test for diffusion processes

DOI10.1016/j.spl.2006.03.009zbMath1095.62099OpenAlexW1997286368MaRDI QIDQ2497811

Sangyeol Lee

Publication date: 4 August 2006

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2006.03.009

zbMATH Keywords

weak convergencediffusion processBickel-Rosenblatt testdiscrete schemeGaussian testtest for existence of jumps

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Markov processes: hypothesis testing (62M02)

Related Items (4)

An updated review of goodness-of-fit tests for regression models ⋮ Jarque-Bera normality test for the driving Lévy process of a discretely observed univariate SDE ⋮ The Bickel-Rosenblatt test for continuous time stochastic volatility models ⋮ NONPARAMETRIC HYPOTHESIS OF DRIFT FUNCTION IN LOCALLY STATIONARY DIFFUSION MODELS

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