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Goodness of fit test for ergodic diffusion processes


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  • Ilia Negri


  • Yoichi Nishiyama


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


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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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    Cited by:
    1. 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.
    2. Yury Kutoyants, 2014. "On asymptotic distribution of parameter free tests for ergodic diffusion processes," Statistical Inference for Stochastic Processes, Springer, vol. 17(2), pages 139-161, July.
    3. Ilia Negri & Li Zhou, 2014. "On goodness-of-fit testing for ergodic diffusion process with shift parameter," Statistical Inference for Stochastic Processes, Springer, vol. 17(1), pages 51-73, April.
    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. Dennis Kristensen, 2010. "Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models," Discussion Papers 10-10, University of Copenhagen. Department of Economics.
    6. 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.
    7. 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.
    8. 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.
    9. 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.


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