Nonparametric model validations for hidden Markov models with applications in financial econometrics
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Publication:737900
confidence envelopediffusion modelhidden Markov modelmarket microstructure noisemodel validationnonlinear time seriesstochastic volatilitytransition density
Density estimation (62G07) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20)
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Cited in
(6)- Specification test for Markov models with measurement errors
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