Goodness of fit test for ergodic diffusion processes
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Bibliographic InfoArticle provided by Springer in its journal Annals of the Institute of Statistical Mathematics.
Volume (Year): 61 (2009)
Issue (Month): 4 (December)
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Web page: http://www.springerlink.com/link.asp?id=102845
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Harry Zanten, 2003. "On Empirical Processes for Ergodic Diffusions and Rates of Convergence of "M"-estimators," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 30(3), pages 443-458.
- Ilia Negri, 1998. "Stationary Distribution Function Estimation for Ergodic Diffusion Process," Statistical Inference for Stochastic Processes, Springer, vol. 1(1), pages 61-84, January.
- Takayuki Fujii & Yoichi Nishiyama, 2012. "Some problems in nonparametric inference for the stress release process related to the local time," Annals of the Institute of Statistical Mathematics, Springer, vol. 64(5), pages 991-1007, October.
- Kristensen, Dennis, 2011.
"Semi-nonparametric estimation and misspecification testing of diffusion models,"
Journal of Econometrics,
Elsevier, vol. 164(2), pages 382-403, October.
- Dennis Kristensen, 2010. "Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models," CREATES Research Papers 2010-43, School of Economics and Management, University of Aarhus.
- Dennis Kristensen, 2010. "Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models," Discussion Papers 10-10, University of Copenhagen. Department of Economics.
- Monsalve-Cobis, Abelardo & González-Manteiga, Wenceslao & Febrero-Bande, Manuel, 2011. "Goodness-of-fit test for interest rate models: An approach based on empirical processes," Computational Statistics & Data Analysis, Elsevier, vol. 55(12), pages 3073-3092, December.
- Yury Kutoyants, 2012. "On identification of the threshold diffusion processes," Annals of the Institute of Statistical Mathematics, Springer, vol. 64(2), pages 383-413, April.
- Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 22(3), pages 361-411, September.
- Ilia Negri & Yoichi Nishiyama, 2012. "Asymptotically distribution free test for parameter change in a diffusion process model," Annals of the Institute of Statistical Mathematics, Springer, vol. 64(5), pages 911-918, October.
- Ilia Negri & Yoichi Nishiyama, 2010. "Goodness of fit test for ergodic diffusions by tick time sample scheme," Statistical Inference for Stochastic Processes, Springer, vol. 13(1), pages 81-95, April.
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