RESIDUAL EMPIRICAL PROCESS FOR DIFFUSION PROCESSES

DOI10.4134/JKMS.2008.45.3.683MaRDI QIDQ3504830zbMATH OpenFDO

Authors Sangyeol Lee, In-Suk Wee

Publication date 18 June 2008

Published in Journal of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4134/JKMS.2008.45.3.683

zbMATH Keywords

discrete schememodel check testresidual empirical processweak convergence to a Brownian bridge

Mathematics Subject Classification ID

Diffusion processes (60J60) Asymptotic properties of parametric estimators (62F12)

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Cited in

(9)

• Goodness-of-fit test for interest rate models: an approach based on empirical processes
• How to test that a given process is an Ornstein-Uhlenbeck process
• Jarque-Bera normality test for the driving Lévy process of a discretely observed univariate SDE
• Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes
• Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach
• An updated review of goodness-of-fit tests for regression models
• On a family of test statistics for discretely observed diffusion processes
• Test for dispersion constancy in stochastic differential equation models
• Divergences test statistics for discretely observed diffusion processes

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