A test for model specification of diffusion processes

Annals of Statistics

Volumn 36, Issue 1, 2008, Pages 167-198

  Chen, Song Xi ^a,c   Gao, Jiti ^b   Tang, Cheng Yong ^a,c  

^a IOWA STATE UNIVERSITY   (United States)

^b UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

^c E005A Lagomarcino Hall   (United States)

Author keywords

Bootstrap; Diffusion process; Empirical likelihood; Goodness of fit test; Time series; Transitional density

Indexed keywords

EID: 50649122127     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/009053607000000659     Document Type: Article

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