CHARACTERISTIC FUNCTION–BASED TESTING FOR MULTIFACTOR CONTINUOUS-TIME MARKOV MODELS VIA NONPARAMETRIC REGRESSION
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Publication:3580636
DOI10.1017/S026646660999048XzbMath1294.62093OpenAlexW2054238006MaRDI QIDQ3580636
Publication date: 13 August 2010
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s026646660999048x
Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Continuous-time Markov processes on general state spaces (60J25) Characteristic functions; other transforms (60E10)
Related Items (10)
On the Characteristic Function for Asymmetric Exponential Power Distributions ⋮ CHARACTERISTIC FUNCTION BASED TESTING FOR CONDITIONAL INDEPENDENCE: A NONPARAMETRIC REGRESSION APPROACH ⋮ Parameter estimation and model testing for Markov processes via conditional characteristic functions ⋮ Empirical‐process‐based specification tests for diffusion models ⋮ Specification testing in random coefficient models ⋮ On the characteristic function for asymmetric Student \(t\) distributions ⋮ Asymptotically distribution-free tests for the volatility function of a diffusion ⋮ Testing distributional assumptions using a continuum of moments ⋮ Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach ⋮ A martingale approach for testing diffusion models based on infinitesimal operator
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