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Goodness of fit test for ergodic diffusion processes

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Author Info

  • Ilia Negri

    ()

  • Yoichi Nishiyama

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10463-007-0162-0
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    Bibliographic Info

    Article provided by Springer in its journal Annals of the Institute of Statistical Mathematics.

    Volume (Year): 61 (2009)
    Issue (Month): 4 (December)
    Pages: 919-928

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    Handle: RePEc:spr:aistmt:v:61:y:2009:i:4:p:919-928

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    Web page: http://www.springerlink.com/link.asp?id=102845

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    Related research

    Keywords: Consistent test; Empirical process; Asymptotically distribution free tests;

    References

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    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.:
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    1. 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.
    2. Ilia Negri, 1998. "Stationary Distribution Function Estimation for Ergodic Diffusion Process," Statistical Inference for Stochastic Processes, Springer, vol. 1(1), pages 61-84, January.
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    Citations

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    Cited by:
    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. 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.

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