ON THE GOODNESS OF FIT TEST FOR DISCRETELY OBSERVED SAMPLE FROM DIFFUSION PROCESSES: DIVERGENCE MEASURE APPROACH
From MaRDI portal
Publication:3056499
DOI10.4134/JKMS.2010.47.6.1137zbMath1201.62097MaRDI QIDQ3056499
Publication date: 12 November 2010
Published in: Journal of the Korean Mathematical Society (Search for Journal in Brave)
Full work available at URL: http://www.mathnet.or.kr/mathnet/kms_content.php?no=402280
diffusion processgoodness of fit testresidual empirical processdiscretely observed samplephi-divergence testweak convergence to a Brownian bridge
Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Statistical aspects of information-theoretic topics (62B10) Asymptotic properties of parametric tests (62F05) Markov processes: hypothesis testing (62M02)
Related Items
Optimal restricted quadratic estimator of integrated volatility, Goodness-of-fit test for stochastic volatility models, The Bickel-Rosenblatt test for continuous time stochastic volatility models