Empirical‐process‐based specification tests for diffusion models

DOI10.1002/CJS.11745OpenAlexW4309349999MaRDI QIDQ6180919FDOQ6180919

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Publication date: 22 January 2024

Published in: The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.11745

zbMATH Keywords

diffusion modelempirical processmartingale transformationdistribution free

Mathematics Subject Classification ID

Markov processes: hypothesis testing (62M02) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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