Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes
DOI10.1016/J.SPA.2013.03.013zbMATH Open1284.62529OpenAlexW2074882903MaRDI QIDQ2447652FDOQ2447652
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
Recommendations
- On score-functions and goodness-of-fit tests for stochastic processes
- RESIDUAL EMPIRICAL PROCESS FOR DIFFUSION PROCESSES
- The Bickel--Rosenblatt test for diffusion processes
- Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process
- Goodness of fit test for small diffusions by discrete time observations
Asymptotic properties of parametric tests (62F05) Non-Markovian processes: estimation (62M09) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
- A Test for Normality of Observations and Regression Residuals
- Title not available (Why is that?)
- Self-Normalized Processes
- Title not available (Why is that?)
- Invariant tests for multivariate normality: A critical review
- Measures of multivariate skewness and kurtosis with applications
- Limit distributions for Mardia's measure of multivariate skewness
- Processes of normal inverse Gaussian type
- On Jarque-Bera tests for assessing multivariate normality
- An Appraisal and Bibliography of Tests for Multivariate Normality
- On Mardia’s kurtosis test for multivariate normality
- Testing for jumps in a discretely observed process
- LAN property for ergodic diffusions with discrete observations
- A practical inference for discretely observed jump-diffusions from finite samples
- Estimation for diffusion processes from discrete observation
- 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
- Estimation of an Ergodic Diffusion from Discrete Observations
- Discretization of processes.
- High moment partial sum processes of residuals in GARCH models and their applications
- Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
- Adaptive estimation of an ergodic diffusion process based on sampled data
- Estimation for misspecified ergodic diffusion processes from discrete observations
- New tests for jumps in semimartingale models
- Jarque-Bera normality test for the driving Lévy process of a discretely observed univariate SDE
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
- Estimating diffusion with compound Poisson jumps based on self-normalized residuals
- Title not available (Why is that?)
- Title not available (Why is that?)
- Hybrid multi-step estimators for stochastic differential equations based on sampled data
- Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models
- Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency
This page was built for publication: Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2447652)
