Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach
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Publication:3021187
DOI10.1080/10485252.2010.510186zbMATH Open1359.62149OpenAlexW1972002510MaRDI QIDQ3021187FDOQ3021187
Authors: Hiroki Masuda, Ilia Negri, Yoichi Nishiyama 
Publication date: 22 July 2011
Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10446/541
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invariance principleergodic diffusion processasymptotically distribution-free testdiscrete-time observation
Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Diffusion processes (60J60)
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Cited In (19)
- Weak convergence of marked empirical processes in a Hilbert space and its applications
- Sharp adaptive similarity testing with pathwise stability for ergodic diffusions
- Goodness-of-fit test for interest rate models: an approach based on empirical processes
- Jump‐robust testing of volatility functions in continuous time models
- Testing hypothesis on transition distributions of a Markov sequence
- How to test that a given process is an Ornstein-Uhlenbeck process
- On the goodness-of-fit testing for ergodic diffusion processes
- Empirical‐process‐based specification tests for diffusion models
- On score-functions and goodness-of-fit tests for stochastic processes
- Implementation of a goodness-of-fit test through Khmaladze martingale transformation
- On the goodness of fit test for discretely observed sample from diffusion processes: divergence measure approach
- Goodness of fit test for small diffusions by discrete time observations
- Goodness of fit test for ergodic diffusion processes
- Divergences test statistics for discretely observed diffusion processes
- Adaptive confidence bands for Markov chains and diffusions: estimating the invariant measure and the drift
- Asymptotically distribution-free tests for the volatility function of a diffusion
- Goodness of fit test for ergodic diffusions by tick time sample scheme
- An updated review of goodness-of-fit tests for regression models
- On goodness-of-fit testing for ergodic diffusion process with shift parameter
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