Goodness of fit test for ergodic diffusions by tick time sample scheme

DOI10.1007/s11203-010-9041-zzbMath1205.62115OpenAlexW2139284530MaRDI QIDQ625318

Ilia Negri, Yoichi Nishiyama

Publication date: 15 February 2011

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10446/524

zbMATH Keywords

invariance principleergodic diffusion processasymptotically distribution free testtick time sample

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Markov processes: hypothesis testing (62M02)

Related Items (7)

An updated review of goodness-of-fit tests for regression models ⋮ Adaptive confidence bands for Markov chains and diffusions: Estimating the invariant measure and the drift ⋮ Goodness-of-fit test for interest rate models: an approach based on empirical processes ⋮ Empirical‐process‐based specification tests for diffusion models ⋮ Asymptotically distribution-free tests for the volatility function of a diffusion ⋮ Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach ⋮ Divergences test statistics for discretely observed diffusion processes

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