Nonparametric tests of the Markov hypothesis in continuous-time models

DOI10.1214/09-AOS763zbMath1200.62044arXiv1011.2645OpenAlexW3102333618MaRDI QIDQ605941

Jiancheng Jiang, Yacine Aït-Sahalia, Jianqing Fan

Publication date: 15 November 2010

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

Full work available at URL: https://arxiv.org/abs/1011.2645

zbMATH Keywords

diffusiontransition densityChapman-Kolmogorov equationlocally linear smootherMarkov hypothesis

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02)

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