A test for model specification of diffusion processes

DOI10.1214/009053607000000659zbMath1132.62063arXivmath/0702123OpenAlexW2068572883MaRDI QIDQ2477057

Cheng Yong Tang, J. T. Gao, Song Xi Chen

Publication date: 12 March 2008

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

Full work available at URL: https://arxiv.org/abs/math/0702123

zbMATH Keywords

bootstraptime seriesdiffusion processempirical likelihoodgoodness-of-fit testtransitional density

Mathematics Subject Classification ID

Density estimation (62G07) Bootstrap, jackknife and other resampling methods (62F40) Markov processes: hypothesis testing (62M02)

Related Items

Optimal restricted quadratic estimator of integrated volatility, Specification testing in discretized diffusion models: theory and practice, Empirical likelihood-based inference for nonparametric recurrent diffusions, An updated review of goodness-of-fit tests for regression models, Nonparametric tests of the Markov hypothesis in continuous-time models, A specification test of stochastic diffusion models, Marginal empirical likelihood and sure independence feature screening, Information ratio test for model misspecification on parametric structures in stochastic diffusion models, Specification tests for univariate diffusions, Goodness-of-fit test for stochastic volatility models, On a family of test statistics for discretely observed diffusion processes, Rejoinder on: A review on empirical likelihood methods for regression, Variation-based tests for volatility misspecification, Parameter estimation and model testing for Markov processes via conditional characteristic functions, Goodness-of-fit test for interest rate models: an approach based on empirical processes, Empirical‐process‐based specification tests for diffusion models, Nonparametric estimation of a scalar diffusion model from discrete time data: a survey, The indirect method for stochastic logistic growth models, Asymptotically distribution-free tests for the volatility function of a diffusion, Empirical likelihood inference for logistic equation with random perturbation, Nonparametric specification tests for stochastic volatility models based on volatility density, REWEIGHTED FUNCTIONAL ESTIMATION OF DIFFUSION MODELS, On the goodness-of-fit testing for ergodic diffusion processes, Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach, A test for model specification of diffusion processes, Test for dispersion constancy in stochastic differential equation models, Divergences test statistics for discretely observed diffusion processes, Robust test for dispersion parameter change in discretely observed diffusion processes, Nonparametric estimation of jump diffusion models, SIMULTANEOUS SPECIFICATION TESTING OF MEAN AND VARIANCE STRUCTURES IN NONLINEAR TIME SERIES REGRESSION, An asymptotic analysis of likelihood-based diffusion model selection using high frequency data, A martingale approach for testing diffusion models based on infinitesimal operator, Generalized spectral testing for multivariate continuous-time models, Semi-nonparametric estimation and misspecification testing of diffusion models, Evidential inference for diffusion-type processes, ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS

Cites Work

• Unnamed Item
• Unnamed Item
• Empirical likelihood methods with weakly dependent processes
• On the second-order properties of empirical likelihood with moment restrictions
• Extending the scope of empirical likelihood
• Combined and least squares empirical likelihood
• Linearity testing using local polynomial approximation
• Consistent model specification tests for time series econometric models
• Comparing nonparametric versus parametric regression fits
• Empirical likelihood and general estimating equations
• Nonparametric smoothing and lack-of-fit tests
• Nonparametric likelihood ratio goodness-of-fit tests for survival data
• Testing conditional moment restrictions
• Sieve empirical likelihood ratio tests for nonparametric functions
• Generalized likelihood ratio statistics and Wilks phenomenon
• Nonlinear time series. Nonparametric and parametric methods
• A selective overview of nonparametric methods in financial econometrics
• A test for model specification of diffusion processes
• A Theory of the Term Structure of Interest Rates
• Test of Significance Based on Wavelet Thresholding and Neyman's Truncation
• A crossvalidation method for estimating conditional densities
• Empirical likelihood ratio confidence intervals for a single functional
• Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems
• Multivariate Boundary Kernels and a Continuous Least Squares Principle
• Goodness-of-Fit Tests for Parametric Regression Models
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model Against a Nonparametric Alternative
• An Empirical Likelihood Goodness-of-Fit Test for Time Series
• Hypothesis Testing in Semiparametric and Nonparametric Models for Econometric Time Series
• Nonparametric Estimation and Symmetry Tests for Conditional Density Functions
• Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms
• Nonparametric Transition-Based Tests for Jump Diffusions
• An equilibrium characterization of the term structure
• Fully Nonparametric Estimation of Scalar Diffusion Models
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Stochastic volatility models as hidden Markov models and statistical applications
• Testing additivity in generalized nonparametric regression models with estimated parameters
• Goodness-of-fit tests for kernel regression with an application to option implied volatilities