Goodness-of-Fit based on Downsampling with Applications to Linear Drift Diffusions

DOI10.1111/j.1467-9469.2010.00705.xzbMath1246.60103OpenAlexW1919315318WikidataQ60258681 ScholiaQ60258681MaRDI QIDQ2911667

Bo Markussen, Julie Lyng Forman, Helle Sørensen

Publication date: 1 September 2012

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2010.00705.x

zbMATH Keywords

stationary processgoodness of fit testestimating functioncontinuous-time modellinear drift diffusion

Mathematics Subject Classification ID

Generalized linear models (logistic models) (62J12) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02)

Related Items (2)

Rejoinder on: ``An updated review of goodness-of-fit tests for regression models ⋮ A transformation approach to modelling multi-modal diffusions

Cites Work

• Unnamed Item
• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions
• Testing for jumps in a discretely observed process
• Generalized method of moments specification testing
• Estimating equations based on eigenfunctions for a discretely observed diffusion process
• Spectral methods for identifying scalar diffusions
• On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
• Diffusion-type models with given marginal distribution and autocorrelation function
• The large sample behaviour of the generalized method of moments estimator in misspecified models
• Generalized likelihood ratio statistics and Wilks phenomenon
• Estimating stochastic volatility diffusion using conditional moments of integrated volatility
• Prediction‐based estimating functions
• Discretely Observed Diffusions: Classes of Estimating Functions and Small Δ‐optimality
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• A Theory of the Term Structure of Interest Rates
• LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Specification Tests in Econometrics
• Automatic Lag Selection in Covariance Matrix Estimation
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
• Inference for Observations of Integrated Diffusion Processes
• Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
• Conditional Likelihood Estimators for Hidden Markov Models and Stochastic Volatility Models
• Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
• Nonparametric Pricing of Interest Rate Derivative Securities
• The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
• An equilibrium characterization of the term structure
• Stochastic volatility models as hidden Markov models and statistical applications

This page was built for publication: Goodness-of-Fit based on Downsampling with Applications to Linear Drift Diffusions