Nonparametric Transition-Based Tests for Jump Diffusions
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Publication:5254730
DOI10.1198/JASA.2009.TM08198zbMath1388.62124OpenAlexW1993855670MaRDI QIDQ5254730
Yacine Aït-Sahalia, Heng Peng, Jianqing Fan
Publication date: 10 June 2015
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/jasa.2009.tm08198
transition densityspecification testMarkovian processnull distributionlocal linear fitlikelihood ratio-test
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