Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach
From MaRDI portal
Publication:3021187
Recommendations
- Goodness of fit test for ergodic diffusion processes
- Goodness of fit test for small diffusions by discrete time observations
- Goodness of fit test for ergodic diffusions by tick time sample scheme
- On the goodness-of-fit testing for ergodic diffusion processes
- On goodness-of-fit testing for ergodic diffusion process with shift parameter
Cites work
- scientific article; zbMATH DE number 3494203 (Why is no real title available?)
- scientific article; zbMATH DE number 3555160 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- scientific article; zbMATH DE number 1406730 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- A maximal inequality for continuous martingales and \(M\)-estimation in a Gaussian white noise model
- A test for model specification of diffusion processes
- Adaptive estimation in diffusion processes.
- Distribution-free specification tests of conditional models
- Donsker theorems for diffusions: necessary and sufficient conditions
- Estimation for diffusion processes from discrete observation
- Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
- Estimation of an Ergodic Diffusion from Discrete Observations
- Goodness of fit test for ergodic diffusion processes
- Goodness of fit test for ergodic diffusions by tick time sample scheme
- Maximum likelihood drift estimation for multiscale diffusions
- Modelling and forecasting vehicle stocks using the trends of stochastic Gompertz diffusion models: The case of Spain
- Nonparametric estimation of scalar diffusions based on low frequency data
- Nonparametric model checks for time series
- Nonparametric transition-based tests for jump diffusions
- On polynomial mixing bounds for stochastic differential equations
- On uniform laws of large numbers for ergodic diffusions and consistency of estimators
- RESIDUAL EMPIRICAL PROCESS FOR DIFFUSION PROCESSES
- Stationary distribution function estimation for ergodic diffusion process
- Statistical inference for ergodic diffusion processes.
- The normal approximation rate for the drift estimator of multidimensional diffusions
- Weak convergence and empirical processes. With applications to statistics
- Weighted empirical processes in dynamic nonlinear models.
Cited in
(19)- On the goodness of fit test for discretely observed sample from diffusion processes: divergence measure approach
- Sharp adaptive similarity testing with pathwise stability for ergodic diffusions
- Empirical‐process‐based specification tests for diffusion models
- Weak convergence of marked empirical processes in a Hilbert space and its applications
- Asymptotically distribution-free tests for the volatility function of a diffusion
- An updated review of goodness-of-fit tests for regression models
- Goodness of fit test for small diffusions by discrete time observations
- Goodness of fit test for ergodic diffusions by tick time sample scheme
- Implementation of a goodness-of-fit test through Khmaladze martingale transformation
- Divergences test statistics for discretely observed diffusion processes
- Testing hypothesis on transition distributions of a Markov sequence
- On the goodness-of-fit testing for ergodic diffusion processes
- On score-functions and goodness-of-fit tests for stochastic processes
- How to test that a given process is an Ornstein-Uhlenbeck process
- On goodness-of-fit testing for ergodic diffusion process with shift parameter
- Goodness of fit test for ergodic diffusion processes
- Goodness-of-fit test for interest rate models: an approach based on empirical processes
- Jump‐robust testing of volatility functions in continuous time models
- Adaptive confidence bands for Markov chains and diffusions: estimating the invariant measure and the drift
This page was built for publication: Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3021187)
