Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes

DOI10.1016/J.SPA.2013.03.013MaRDI QIDQ2447652zbMATH OpenOpenAlexFDO

Authors Hiroki Masuda

Publication date 28 April 2014

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2013.03.013

zbMATH Keywords

stochastic differential equationshigh-frequency datagoodness of fit

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Non-Markovian processes: estimation (62M09) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• A Test for Normality of Observations and Regression Residuals
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• An Appraisal and Bibliography of Tests for Multivariate Normality
• Discretization of processes.
• Estimation for diffusion processes from discrete observation
• Estimation for misspecified ergodic diffusion processes from discrete observations
• Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
• Estimation of an Ergodic Diffusion from Discrete Observations
• High moment partial sum processes of residuals in GARCH models and their applications
• Invariant tests for multivariate normality: A critical review
• Jarque-Bera normality test for the driving Lévy process of a discretely observed univariate SDE
• LAN property for ergodic diffusions with discrete observations
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• Measures of multivariate skewness and kurtosis with applications
• New tests for jumps in semimartingale models
• On Jarque-Bera tests for assessing multivariate normality
• On Mardia’s kurtosis test for multivariate normality
• On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
• Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
• Processes of normal inverse Gaussian type
• Self-Normalized Processes
• Testing for jumps in a discretely observed process

Cited in

(8)

• Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
• Hybrid estimators for stochastic differential equations from reduced data
• scientific article; zbMATH DE number 7660132 (Why is no real title available?)
• Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models
• Estimating diffusion with compound Poisson jumps based on self-normalized residuals
• scientific article; zbMATH DE number 7387192 (Why is no real title available?)
• Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency
• Hybrid multi-step estimators for stochastic differential equations based on sampled data

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