Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach

DOI10.1080/10485252.2010.510186zbMath1359.62149OpenAlexW1972002510MaRDI QIDQ3021187

Ilia Negri, Hiroki Masuda, Yoichi Nishiyama

Publication date: 22 July 2011

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

Full work available at URL: http://hdl.handle.net/10446/541

zbMATH Keywords

invariance principleergodic diffusion processasymptotically distribution-free testdiscrete-time observation

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Diffusion processes (60J60)

Related Items (12)

On score-functions and goodness-of-fit tests for stochastic processes ⋮ An updated review of goodness-of-fit tests for regression models ⋮ Jump‐robust testing of volatility functions in continuous time models ⋮ Adaptive confidence bands for Markov chains and diffusions: Estimating the invariant measure and the drift ⋮ Goodness of fit test for ergodic diffusions by tick time sample scheme ⋮ Goodness-of-fit test for interest rate models: an approach based on empirical processes ⋮ Empirical‐process‐based specification tests for diffusion models ⋮ Weak convergence of marked empirical processes in a Hilbert space and its applications ⋮ Asymptotically distribution-free tests for the volatility function of a diffusion ⋮ Testing hypothesis on transition distributions of a Markov sequence ⋮ Divergences test statistics for discretely observed diffusion processes ⋮ How to test that a given process is an Ornstein-Uhlenbeck process

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