Information ratio test for model misspecification on parametric structures in stochastic diffusion models

DOI10.1016/j.csda.2012.05.013zbMath1255.62229OpenAlexW2047763420MaRDI QIDQ1927178

Daimin Shi, Qian M. Zhou, Peter X.-K. Song, Shu-Lin Zhang

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2012.05.013

zbMATH Keywords

volatilitymartingale estimating functionsdriftGodambe informationBartlett identityinformation unbiasedness

Mathematics Subject Classification ID

Related Items (5)

Parameter estimation for multivariate diffusion systems ⋮ Information ratio test for model misspecification on parametric structures in stochastic diffusion models ⋮ A unified approach to proving parametric bootstrap consistency for some goodness-of-fit tests ⋮ Goodness-of-fit test for specification of semiparametric copula dependence models ⋮ Goodness-of-fit test of copula functions for semi-parametric univariate time series models

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