Goodness-of-fit test for ergodic diffusions by discrete-time observations: An innovation martingale approach

Journal of Nonparametric Statistics

Volumn 23, Issue 2, 2011, Pages 237-254

  Masuda, Hiroki ^a   Negri, Ilia ^b   Nishiyama, Yoichi ^c  

^a KYUSHU UNIVERSITY   (Japan)

^b UNIVERSITY OF BERGAMO   (Italy)

^c INSTITUTE OF STATISTICAL MATHEMATICS   (Japan)

Author keywords

Asymptotically distribution free test; Discrete time observation; Ergodic diffusion process; Invariance principle

Indexed keywords

EID: 79957627934     PISSN: 10485252     EISSN: 10290311     Source Type: Journal    
DOI: 10.1080/10485252.2010.510186     Document Type: Article

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