The Bickel--Rosenblatt test for diffusion processes

DOI10.1016/J.SPL.2006.03.009MaRDI QIDQ2497811zbMATH OpenOpenAlexFDO

Authors Sangyeol Lee

Publication date 4 August 2006

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2006.03.009

zbMATH Keywords

Bickel-Rosenblatt testdiffusion processdiscrete schemeGaussian testtest for existence of jumpsweak convergence

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Markov processes: hypothesis testing (62M02)

Recommendations

• The Bickel-Rosenblatt test for continuous time stochastic volatility models
• How to test that a given process is an Ornstein-Uhlenbeck process
• On asymptotic distribution of parameter free tests for ergodic diffusion processes
• Goodness of fit test for ergodic diffusions by tick time sample scheme
• On the Bickel-Rosenblatt test of goodness-of-fit for the residuals of autoregressive processes

Cites work

• A nonparametric goodness of fit test for strong mixing processes
• Approximate discrete-time schemes for statistics of diffusion processes
• Convergence of Jump-Diffusion Modelsto the Black–Scholes Model
• Estimation for diffusion processes from discrete observation
• Estimation of an Ergodic Diffusion from Discrete Observations
• Estimation of the Distribution of Noise in an Autoregression Scheme
• Financial Modelling with Jump Processes
• scientific article; zbMATH DE number 1598665 (Why is no real title available?)
• scientific article; zbMATH DE number 5604036 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 1227086 (Why is no real title available?)
• scientific article; zbMATH DE number 1546853 (Why is no real title available?)
• scientific article; zbMATH DE number 2148871 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 1432782 (Why is no real title available?)
• On empirical processes in heteroscedastic time series and their use for hypothesis testing and estimation
• On invariant density estimation for ergodic diffusion processes
• On residual empirical processes of stochastic regression models with applications to time series
• On some global measures of the deviations of density function estimates
• On the Bickel-Rosenblatt test for first-order autoregressive models
• The Cusum Test for Parameter Change in Regression Models with ARCH Errors
• The Cusum Test for Parameter Change in Time Series Models
• The power and optimal kernel of the Bickel-Rosenblatt test for goodness of fit
• Weak convergence and empirical processes. With applications to statistics
• Weak convergence of the sample distribution function when parameters are estimated
• Weak convergence of the sequential empirical processes of residuals in nonstationary autoregressive models
• Weighted empirical processes in dynamic nonlinear models.

Cited in

(8)

• 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
• RESIDUAL EMPIRICAL PROCESS FOR DIFFUSION PROCESSES
• An updated review of goodness-of-fit tests for regression models
• The Bickel-Rosenblatt test for continuous time stochastic volatility models
• Nonparametric hypothesis of drift function in locally stationary diffusion models
• A comparative review of specification tests for diffusion models

This page was built for publication: The Bickel--Rosenblatt test for diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2497811)